Perform MEFM Estimation on Matrix Time Series
Estimation of factor models on matrix time series
Estimation of MEFM on matrix time series
Data generation of matrix time series with MEFM structure
Aggregation of estimated error
Construction of series for testing MEFM
Estimated theta quantile based on a given series
HAC covariance estimator for asymptotic normality on each row j of loa...
To perform main effect matrix factor model (MEFM) estimation for a given matrix time series as described in Lam and Cen (2024) <doi:10.48550/arXiv.2406.00128>. Estimation of traditional matrix factor models is also supported. Supplementary functions for testing MEFM over factor models are included.