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.
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