MEFM

Last update 6 June 2024

Copyright license GNU General Public License, version 3.0

Description

To perform main effect matrix factor model (MEFM) estimation for a given matrix time series as described in Lam and Cen (2024) <doi:10.48550/arXiv.2406.00128>. Estimation of traditional matrix factor models is also supported. Supplementary functions for testing MEFM over factor models are included.

Cited in

(1)

KOFM

This page was built for software: MEFM