factormodel

Functions to estimate a factor model using discrete and continuous proxy variables. The function 'dproxyme' estimates a factor model of discrete proxy variables using an EM algorithm (Dempster, Laird, Rubin (1977) doi:10.1111/j.2517-6161.1977.tb01600.x; Hu (2008) doi:10.1016/j.jeconom.2007.12.001; Hu(2017) doi:10.1016/j.jeconom.2017.06.002 ). The function 'cproxyme' estimates a linear factor model (Cunha, Heckman, and Schennach (2010) doi:10.3982/ECTA6551).