Add Factor for estimating factor models
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Codecov ReportAll modified and coverable lines are covered by tests ✅
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## main #3 +/- ##
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+ Coverage 99.80% 99.85% +0.05%
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Files 6 8 +2
Lines 514 714 +200
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+ Hits 513 713 +200
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This PR introduces factor model estimation for balanced panels. Both observed and unobserved factors are allowed. The estimation procedure follows Stock and Watson (2016).
Customized wrappers for SVD allows non-allocating estimation given pre-allocated cache.