Bootstrapping factor models with cross sectional dependence
Publication:2227057
DOI10.1016/j.jeconom.2020.04.026zbMath1464.62318OpenAlexW3027034296MaRDI QIDQ2227057
Benoit Perron, Sílvia Gonçalves
Publication date: 9 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.cireqmontreal.com/wp-content/uploads/cahiers/10-2018-cah.pdf
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)
Related Items (10)
Cites Work
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