R/fbi.R

#' Factor-Based Imputation and FRED-MD/QD Data Set
#'
#' @description The \code{fbi} package contains functions to estimate factor
#' models and impute missing data based on factor models. It also includes
#' functions to load and prepare the FRED-MD/QD data set.
#'
#' @docType package
#' @name fbi-package
#' @aliases fbi
#'
#' @details See \code{vignette("factor_fred", package = "fbi")}
#' for an example using the FRED-MD dataset
#' (\url{https://research.stlouisfed.org/econ/mccracken/fred-databases/}).
#'
#' @author Yankang (Bennie) Chen <yankang.chen@@yale.edu>
#' @author Serena Ng <serena.ng@@columbia.edu>
#' @author Jushan Bai <jushan.bai@@columbia.edu>
#'
#' @references
#' Jushan Bai and Serena Ng (2002), \emph{Determining the number of factors in approximate factor models}.
#' \url{https://onlinelibrary.wiley.com/doi/pdf/10.1111/1468-0262.00273}
#'
#' Jushan Bai and Serena Ng (2019), \emph{Rank regularized estimation of approximate factor models}.
#' \url{https://doi.org/10.1016/j.jeconom.2019.04.021}
#'
#' Jushan Bai and Serena Ng (2021), \emph{Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data}.
#' \url{https://www.tandfonline.com/doi/full/10.1080/01621459.2021.1967163}
#'
#' Ercument Cahan, Jushan Bai, and Serena Ng (2021),
#' \emph{Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions}.
#' \url{https://arxiv.org/abs/2103.03045}
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cykbennie/fbi documentation built on Jan. 24, 2025, 5:59 p.m.