Factor-based imputation of missing values and covariances in panel data of large dimensions
高维面板数据缺失值与协方差的因子插补
Economists are blessed with a wealth of data for analysis, but more often than not, values in some entries of the data matrix are missing. Various methods have been proposed to handle missing observations in a few variables. We exploit the factor structure in panel data of large dimensions. Our tall-project algorithm first estimates the factors from a tall block in which data for all rows are observed, and projections of unit specific sample size are then used to estimate…