Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

DOI10.1080/01621459.2021.2004895MaRDI QIDQ5885082

Marcelo C. Medeiros, Jianqing Fan, Ricardo P. Masini

Publication date: 27 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.03996

zbMATH Keywords

counterfactual; factor models; optimal pricing; demand estimation; high-dimensional testing

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

Uses Software

• ArCo