In-Sample Inference and Forecasting in Misspecified Factor Models

DOI10.1080/07350015.2016.1186029MaRDI QIDQ6667079zbMATH OpenFDO

Authors Marine Carrasco, Barbara Rossi

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2016.1186029

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20)

Cited in

(1)

• Linear regression with weak exogeneity

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