In-Sample Inference and Forecasting in Misspecified Factor Models-Reference-Cited by-同舟云学术

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In-Sample Inference and Forecasting in Misspecified Factor Models

Published:2016-07-02 Issue:3 Volume:34 Page:313-338
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Carrasco Marine¹,Rossi Barbara²

Affiliation:

1. Université de Montréal, Departement de Sciences Economiques, CP 6128, succ Centre Ville, CIREQ, CIRANO, Montreal, QC H3C3J7, Canada ()

2. ICREA-Univ., Pompeu Fabra, Barcelona GSE and CREI, Universitat Pompeu Fabra, C/Ramon Trias Fargas 25-27, 08005 Barcelona , Spain ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2016.1186029

Reference64 articles.

1. On the Use of Principal Components of Independent Variables in Two-Stage Least-Squares Estimation

2. Inferential Theory for Factor Models of Large Dimensions

3. Determining the Number of Factors in Approximate Factor Models

4. Evaluating latent and observed factors in macroeconomics and finance

5. Forecasting economic time series using targeted predictors

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