Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
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Publication:91408
DOI10.48550/arXiv.1910.06677zbMath1506.62236arXiv1910.06677OpenAlexW3195607716MaRDI QIDQ91408
Jushan Bai, Serena Ng, Jushan Bai, Serena Ng
Publication date: 15 October 2019
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.06677
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Missing data (62D10)
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Prediction Intervals for Synthetic Control Methods ⋮ High-dimensional latent panel quantile regression with an application to asset pricing ⋮ Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion ⋮ High-dimensional conditionally Gaussian state space models with missing data ⋮ Factor-based imputation of missing values and covariances in panel data of large dimensions ⋮ Treatment effects in interactive fixed effects models with a small number of time periods ⋮ Inference for low-rank completion without sample splitting with application to treatment effect estimation ⋮ Confidence intervals of treatment effects in panel data models with interactive fixed effects ⋮ tensorFun ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Uses Software
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