3 papers
econ.EM2019
Regularized Quantile Regression with Interactive Fixed Effects
Junlong Feng
This paper studies large and large conditional quantile panel data models with interactive fixed effects. We propose a nuclear norm penalized estimator of the coefficients…
econ.EM2019
Matching Points: Supplementing Instruments with Covariates in Triangular Models
Junlong Feng
Models with a discrete endogenous variable are typically underidentified when the instrument takes on too few values. This paper presents a new method that matches pairs of covaria…
econ.EM2019
Robust Principal Component Analysis with Non-Sparse Errors
Jushan Bai, Junlong Feng
We show that when a high-dimensional data matrix is the sum of a low-rank matrix and a random error matrix with independent entries, the low-rank component can be consistently esti…