arXiv 15 Oct 2019 · Econometrics · publishedJournal of the American Statistical Association (2021) · 49 citations (OpenAlex)
arXiv:1910.06677 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes an imputation procedure that uses the factors estimated from a tall block along with the re-rotated loadings estimated from a wide block to impute missing values in a panel of data. Assuming that a strong factor structure holds for the full panel of data and its sub-blocks, it is shown that the common component can be consistently estimated at four different rates of convergence without requiring regularization or iteration. An asymptotic analysis of the estimation error is obtained. An application of our analysis is estimation of counterfactuals when potential outcomes have a factor structure. We study the estimation of average and individual treatment effects on the treated and establish a normal distribution theory that can be useful for hypothesis testing.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Xiong and Pelger (2019) Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference, SSRN Working Paper 3465… | 1.000 | 5 | 4 | 100% |
| 2 | Jin, Miao and Su (2021) On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation, Journal of Econometrics 222:1, Part C, 745… | 0.928 | 4 | 3 | 100% |
| 3 | Athey, Bayati, Doudchenko, Imbens and Khosravi (2018) Matrx Completion Methods for Causal Panel Data Methods, arXiv:1710.10251v2 | 0.843 | 3 | 3 | 100% |
| 4 | Bai and Ng (2002) Determining the Number of Factors in Approximate Factor Models, Econometrica 70:1, 191–221 | 0.737 | 3 | 2 | 100% |
| 5 | Bai (2003) Inferential Theory for Factor Models of Large Dimensions, Econometrica 71:1, 135–172 self | 0.644 | 4 | 2 | 50% |
| 6 | Abadie and Gardeazabal (2003) The Economic Costs of Conflict: A Case Study of the Basque Country, American Economic Review | 0.644 | 2 | 2 | 100% |
| 7 | Bai and Ng (2019) Rank Regularized Estimation of Approximate Factor Models, Journal of Econometrics 78-96, 212:1 | 0.644 | 2 | 2 | 100% |
| 8 | Cahan, Bai and Ng (2021) Factor Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions self | 0.644 | 2 | 2 | 100% |
| 9 | Stock and Watson (2016) Factor Models and Structural Vector Autoregressions in Macroeconomics, in J. B | 0.644 | 2 | 2 | 100% |
| 10 | Bai (2009) Panel Data Models with Interactive Fixed Effects, Econometrica 77, 1229–1279 self | 0.585 | 3 | 1 | 100% |
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