Bias correction for time series factor models

DOI10.1080/00949655.2018.1442467MaRDI QIDQ4960630zbMATH OpenOpenAlexFDO

Authors Andres M. Alonso, Guadalupe Bastos, Carolina García-Martos

Publication date 23 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2018.1442467

zbMATH Keywords

autoregressive modelsdimensionality reductionfactor modelpersistent processsmall sample bias correction

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
• Approximate bias correction in econometrics
• Bootstrap prediction intervals for autoregressive time series
• Bootstrap predictive inference for ARIMA processes
• Determining the Number of Factors in Approximate Factor Models
• Dynamic Factor Models
• Eigenvalue ratio test for the number of factors
• Estimating the dimension of a model
• Forecasting time series with sieve bootstrap
• Forecasting Using Principal Components From a Large Number of Predictors
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 2063760 (Why is no real title available?)
• scientific article; zbMATH DE number 6193733 (Why is no real title available?)
• Identifying a Simplifying Structure in Time Series
• Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
• Modeling and forecasting U.S. mortality. (With discussion)
• Nonstationary dynamic factor analysis
• Regression and time series model selection in small samples
• The CSS and the two-staged methods for parameter estimation in SARFIMA models

Cited in

(2)

• First-order bias correction for fractionally integrated time series
• Prediction bias correction for dynamic term structure models

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