xtife - Interactive Fixed Effects Estimator for Panel Data
Implements the interactive fixed effects ('IFE') panel
estimator of Bai (2009) <doi:10.3982/ECTA6135> for balanced and
unbalanced panels, with optional additive unit and/or time
fixed effects. Provides analytical standard errors
('homoskedastic', 'HC1' heteroskedasticity-robust,
cluster-robust by unit, and heteroskedasticity- and
autocorrelation- consistent), together with asymptotic
incidental-parameter bias correction for large panels,
including a dynamic extension for predetermined
(lagged-dependent) regressors following Moon and Weidner (2017)
<doi:10.1017/S0266466615000328>. The number of factors is
chosen by information criteria (Bai and Ng 2002
<doi:10.1111/1468-0262.00273>) or by singular value
thresholding. Unbalanced panels are handled by an
expectation-maximisation algorithm with
nuclear-norm-regularised initialisation, with estimation,
analytical inference, and bias correction following Su, Wang
and Wang (2025) <doi:10.2139/ssrn.5177283> and building on the
matrix-completion and missing-data factor analysis of Bai and
Ng (2021) <doi:10.1080/01621459.2021.1967163>. All computations
use base R only, with no external dependencies.
