Abstract
This is the Matlab code for replicating numerical results in:
“Inference for Heterogeneous Effects using Low-Rank Estimation of Factor Slopes”, The Review of Economics and Statistics, by Chernozhukov, Hansen, Liao and Zhu.
I Simulation:
The main code is simulation_master_submit.m .
This code will read the following functions:
* DGP_arti.m, simulation_func.m, factorslope_estimation_sub.m,
fixe_effct_alternative.m
II empirical results:
The main code is empirical.m. This code will read the following function:
iterative_mw_laggedX_sub.m
It also loads data: indexTcase5.mat , minimum_wage_reg_1.mat