Replication data for: Inference for Heterogeneous Effects using Low-Rank Estimation of Factor Slopes

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