Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation-Reference-Cited by-同舟云学术

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Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation

Published:2015-01-22 Issue:3 Volume:36 Page:481-502
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Djogbenou Antoine¹,Gonçalves Sílvia¹,Perron Benoit¹

Affiliation:

1. Département de sciences économiques; Université de Montréal, CIREQ and CIRANO

Funder

NSERC

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12118/fullpdf

Reference20 articles.

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

2. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator;Andrews;Econometrica,1992

3. Inferential theory for factor models of large dimensions;Bai;Econometrica,2003

4. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

5. Confidence intervals for diffusion index forecasts and inference with factor-augmented regressions;Bai;Econometrica,2006

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1. Cross-section bootstrap for CCE regressions;Journal of Econometrics;2024-03

2. Tests for group-specific heterogeneity in high-dimensional factor models;Journal of Multivariate Analysis;2024-01

3. Identifying factor‐augmented vector autoregression models via changes in shock variances;Journal of Applied Econometrics;2022-03-30

4. Estimating the variance of a combined forecast: Bootstrap-based approach;Journal of Econometrics;2021-10

5. Accurate Confidence Regions for Principal Components Factors*;Oxford Bulletin of Economics and Statistics;2021-04-23

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