Saturday, October 19, 2019

Missing data in Factor Models

Serena Ng's site is back. Her new paper with Jushan Bai, "Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data", which I blogged about earlier, is now up on arXiv, here.  Closely related, Marcus Pelger just sent me his new paper with Ruoxuan Xiong, "Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference", which I look forward to reading. One is dated Oct 15 and one is dated Oct 16. Science is rushing forward!

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