xtife
Implements the interactive fixed effects ('IFE') panel estimator of Bai (2009) <doi:10.3982/ECTA6135> for balanced and unbalanced panels, with optional additive unit and/or time fixed effects. Provides analytical standard errors ('homoskedastic', 'HC1' heteroskedasticity-robust, cluster-robust by unit, and heteroskedasticity- and autocorrelation- consistent), together with asymptotic incidental-parameter bias correction for large panels, including a dynamic extension for predetermined (lagged-dependent) regressors following Moon and Weidner (2017) <doi:10.1017/S0266466615000328>. The number of factors is chosen by information criteria (Bai and Ng 2002 <doi:10.1111/1468-0262.00273>) or by singular value thresholding. Unbalanced panels are handled by an expectation-maximisation algorithm with nuclear-norm-regularised initialisation, with estimation, analytical inference, and bias correction following Su, Wang and Wang (2025) <doi:10.2139/ssrn.5177283> and building on the matrix-completion and missing-data factor analysis of Bai and Ng (2021) <doi:10.1080/01621459.2021.1967163>. All computations use base R only, with no external dependencies.
- Determining the Number of Factors in Approximate Factor Models
- Dynamic linear panel regression models with interactive fixed effects
- Estimation and Inference for Unbalanced Panel Data Models with Interactive Fixed Effects
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
- Panel data models with interactive fixed effects
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