On bootstrapping panel factor series

DOI10.1016/J.JECONOM.2012.09.001MaRDI QIDQ528127zbMATH OpenOpenAlexFDO

Authors Lorenzo Trapani

Publication date 12 May 2017

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

Full work available at URL http://openaccess.city.ac.uk/id/eprint/13956/1/Trapani4R.pdf, http://www.sciencedirect.com/science/article/pii/S0304407612002175

zbMATH Keywords

bootstrapfactor seriesinvariance principlejoint asymptoticsvector autoregression

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A bootstrap procedure for panel data sets with many cross-sectional units
• A PANIC attack on unit roots and cointegration.
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Asymptotics for linear processes
• Asymptotics for panel models with common shocks
• Bootstrap Unit Root Tests
• Bootstrapping cointegrating regressions
• Bootstrapping factor-augmented regression models
• Bounds for the infinity norm of the inverse for certain \(M\)- and \(H\)-matrices
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Determining the Number of Factors in Approximate Factor Models
• Efficient estimation of factor models
• Estimating cross-section common stochastic trends in nonstationary panel data
• Evaluating latent and observed factors in macroeconomics and finance
• High dimensional covariance matrix estimation using a factor model
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Inferential Theory for Factor Models of Large Dimensions
• Infinite-dimensional VARs and factor models
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Linear Regression Limit Theory for Nonstationary Panel Data
• Modeling and forecasting U.S. mortality. (With discussion)
• REGRESSION, AUTOREGRESSION MODELS
• Sieve bootstrap for time series
• Strong approximation for set-indexed partial sum processes via KMT constructions. I
• Strong invariance principle for dependent random fields
• Texture synthesis and nonparametric resampling of random fields
• The moving blocks bootstrap for panel linear regression models with individual fixed effects

Cited in

(13)

• Sieve bootstrapt-tests on long-run average parameters
• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• Inferential theory for heterogeneity and cointegration in large panels
• Bootstrapping factor-augmented regression models
• The moving blocks bootstrap for panel linear regression models with individual fixed effects
• A bootstrap procedure for panel data sets with many cross-sectional units
• First-differenced inference for panel factor series
• Limit theorems for factor models
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Detecting common longevity trends by a multiple population approach
• Robust block bootstrap panel predictability tests
• High Dimensional Threshold Factor Models with Common Stochastic Trends
• Computational framework for longevity risk management

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