Across many disciplines, the fixed effects estimator of linear panel data models is the default method to estimate causal effects with nonexperimental data that are not confounded by time-invariant, unit-specific heterogeneity. One feature of the fixed effects estimator, however, is often...

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by the EM (expectation maximization) algorithm, which in the current context only requires iteratively calculating regime...