no code implementations • 6 Mar 2022 • Matthew Harding, Carlos Lamarche, Chris Muris
In many longitudinal settings, economic theory does not guide practitioners on the type of restrictions that must be imposed to solve the rotational indeterminacy of factor-augmented linear models.
no code implementations • 10 Apr 2020 • Carlos Lamarche, Thomas Parker
We propose a wild residual bootstrap procedure and show that it is asymptotically valid for approximating the distribution of the penalized estimator.
no code implementations • 9 Aug 2018 • Matthew Harding, Carlos Lamarche
In the second step, standard panel quantile methods are employed on a subset of weighted observations.