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xtife - Interactive Fixed Effects Estimator for Panel Data

Implements the interactive fixed effects ('IFE') panel estimator of Bai (2009) <doi:10.3982/ECTA6135> with analytical standard errors ('homoskedastic', 'HC1' robust, and cluster-robust by unit). Supports asymptotic bias correction for large panels (Bai 2009) and a dynamic extension for predetermined regressors (Moon and Weidner 2017 <doi:10.1017/S0266466615000328>). Includes information-criterion-based factor number selection (Bai and Ng 2002 <doi:10.1111/1468-0262.00273>). Also implements an unbalanced panel extension using the expectation-maximisation algorithm of Bai (2009) with exact inferential statistics from Su, Wang and Wang (2025) <doi:10.2139/ssrn.5177283>, including nuclear-norm regularisation initialisation, singular value thresholding for factor number selection, and analytical bias correction for both strictly and weakly exogenous regressors. All computations use base R only with no external dependencies.

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4.88 score 5 stars 449 downloads

pvarife - Panel VAR Models with Interactive Fixed Effects

Implements the estimator of Tugan (2021) <doi:10.1093/ectj/utaa021> for panel vector autoregression (VAR) models with interactive fixed effects. Provides joint estimation of VAR coefficients, latent common factors, and factor loadings via an iterative algorithm that alternates between principal component estimation of the factors and least squares estimation of the VAR coefficients, following the approach of Bai (2009) <doi:10.3982/ECTA6135>. Supports impulse response functions under recursive (Cholesky) identification, parametric confidence bands from the joint asymptotic distribution of the estimator (Theorem 2.3), and a classical residual bootstrap for robustness checks.

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4.18 score