Confidence intervals in regressions with estimated factors and idiosyncratic components

DOI10.1016/j.econlet.2017.05.034zbMath1401.62150OpenAlexW2620726289MaRDI QIDQ1782308

Jack Fosten

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ueaeprints.uea.ac.uk/id/eprint/63621/4/Accepted_manuscript.pdf

zbMATH Keywords

confidence intervalsinferencefactor modelidiosyncratic component

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05)

Related Items (1)

Confidence intervals in regressions with estimated factors and idiosyncratic components

Cites Work

• Are more data always better for factor analysis?
• Tests of equal accuracy for nested models with estimated factors
• Confidence intervals in regressions with estimated factors and idiosyncratic components
• Principal components estimation and identification of static factors
• Bootstrapping factor-augmented regression models
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Forecasting Using Principal Components From a Large Number of Predictors
• Factor Model Forecasts of Exchange Rates
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation

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