Forecasting with factor-augmented regression: a frequentist model averaging approach

DOI10.1016/J.JECONOM.2015.02.010zbMath1332.62357OpenAlexW3124798525MaRDI QIDQ494163

Xu Cheng, Bruce E. Hansen

Publication date: 31 August 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://economics.sas.upenn.edu/sites/default/files/filevault/12-046_0.pdf

zbMATH Keywords

cross-validationfactor modelsforecast combinationgenerated regressorsMallows

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05)

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