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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.
1906
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Eckart, C. and Young, G. 1936, The Approximation of One Matrix by Another of Lower Rank, Psychometrika
1936
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Rubin, D. B. 1976, Inference and Missing Data, Biometrika
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Dempster, A., Laird, N. and Rubin, D. 1977, Maximum Likelihood from Incomplete Data via the EM Algorithm, Journal of the Royal Statistical Association Series B
1977
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Cai, J., Candes, E. and Shen, Z. 2008, A Singular Value Thresholding Algorithm For Matrix Completion, Siam Journal on Optimization
1982
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Shumway, R. and Stoffer, D. 1982, An Approach to Time Sries Modeling and Forecasting Uisng the EM Algorithm, Journal of Time Series Analysis
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Chamberlain, G. and Rothschild, M. 1983, Arbitrage, Factor Structure and Mean-Variance Analysis in Large Asset Markets, Econometrica
1983
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Rubin, D. B. 1987, Multiple Imputation for Nonresponse in Surveys
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Meng, X. and Rubin, D. 1993, Maximum Likelihood Estimation via the ECM Algorithm: A General Framework, Biometrika
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Stock, J. H. and Watson, M. W. 1998, Diffusion Indexes, NBER Working Paper 6702
1998
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Kamakura, W. and Wedel, M. 2000, Factor Analysis and Missing Data, Journal of Marketing Research
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Schneider, T. 2001, Analysis of Incomplete Climate Data: Estimation of Mean Values and Covariance Matrices and Imputation of Missing Values, Journal of Climate
2001
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Bai, J. and Ng, S. 2002, Determining the Number of Factors in Approximate Factor Models, Econometrica
2002
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Stock, J. H. and Watson, M. W. 2002, Forecasting Using Principle Components from a Large Number of Predictors, Journal of American Statistical Association
2002
Cited alongside, same era.
Abadie, A. and Gardeazabal, J. 2003, The Economic Costs of Conflict: A Case Study of the Basque Country, American Economic Review
2003
Cited alongside, same era.
Bai, J. 2003, Inferential Theory for Factor Models of Large Dimensions, Econometrica
2003
Cited alongside, same era.
Bai, J. and Ng, S. 2006, Confidence Intervals for Diffusion Index Forecasts and Inference with Factor-Augmented Regressions, Econometrica
2006
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Horton, N. and Kieinman, K. 2007, Much Ado About Nothing: A Comparison of Missing Data Methods and Software to Fit Incomplete Data Regresssion Methods, American Statistician
2007
Cited alongside, same era.
Banbura, M. and Modugno, M. 2014, Maximum Likelihood Estimation of Factor Models on Datasets with Arbitrary Pattern of Missing Data, Journal of Applied Econometrics
2014
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Doudchenko, N. and Imbens, G. 2016, Balancing, Regression, Diffeences-in-Differences and Synthetic Control Methods: A Synthesis, NBER Workign Paper 22791
2016
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Gobillon, L. and Magnac, T. 2016, Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls, Review of Economics and Statistics
2016
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Stock, J. and Watson, M. 2016, Factor Models and Structural Vector Autoregressions in Macroeconomics, in
2016
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Xu, Y. 2017, Generalized Synthetic Control Methods: Causal Inference with Interactive Fixed Effects Models, Political Analysis
2017
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Giannone, D., Reichlin, L. and Small, D. 2008, Nowcasting: The Real-Time Informational Content of Macroeconomic Data, Journal of Monetary Economics
2008
Cited alongside, same era.
Bai, J. 2009, Panel Data Models with Interactive Fixed Effects, Econometrica
2009
Cited alongside, same era.
Abadie, A., Diamond, A. and Hainmueller, J. 2010, Synthetic Control Methods for Comparative Case Studies: Estimating the Effect of California Tobacco Control Program, Journal of the American Statistical Association
2010
Cited alongside, same era.
Honaker, J. and King, G. 2010, What to Do About Missng Values in Time Series Cross-Section Data, American Journal of Political Science
2010
Cited alongside, same era.
Jungbacker, B. and Koopman, S. J. 2011, Dynamic Factor Analysis in the Presence of Missing Data, Tinbergen Institute Discussion Paper 09-010/4
2011
Cited alongside, same era.
Jungbacker, B., Koopman, S. and van der Wel, M. 2011, Maximum Likelihood Estimation for Dynamic Factor Models with Missing data, Journal of Economic Dyanmics and Control
2011
Cited alongside, same era.
Hsiao, C., Ching, H. and Wan, S. 2012, A Panel Data Approach for Program Evaluation: Measuring the Benefits of Political and Eocnomic Integration of Hong Kong with Mainland China, Journal of Applied Econometrics
2012
Cited alongside, same era.
Later among the works it cites.
Amjad, M., Shah, D. and Shen, D. 2018, Robust Synthetic Control, Journal of Machine Learning Research
2018
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2018
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Li, K. 2018, Inference for Factor Model Based Average Treatment Effects, SSRN 3112775
2018
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Bai, J. and Ng, S. 2019, Rank Regularized Estimation of Approximate Factor Models, Journal of Econometrics
2019
Closest in time.
Xiong, R. and Pelger, M. 2019, Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference, SSRN Working Paper 3465337
2019
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arXiv:2103:03045
Cahan, E., Bai, J. and Ng, S. 2021, Factor Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions · 2021
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Jin, S., Miao, K. and Su, L. 2021, On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation, Journal of Econometrics
2021
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