Bootstrapping factor models with cross sectional dependence
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Publication:2227057
Bootstrap, jackknife and other resampling methods (62F40) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Recommendations
- Bootstrap inference under cross‐sectional dependence
- Bootstrapping factor-augmented regression models
- Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
- Bootstrapping cointegrating regressions
- Bootstrapping cointegrating regression
- Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
- Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
- Improving the finite sample performance of autoregression estimators in dynamic factor models: a bootstrap approach
- Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
- On bootstrap inference in cointegrating regressions
Cites work
- Adaptive thresholding for sparse covariance matrix estimation
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
- Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
- Bootstrapping factor-augmented regression models
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Covariance regularization by thresholding
- Forecasting Using Principal Components From a Large Number of Predictors
- Generalized thresholding of large covariance matrices
- High-dimensional covariance matrix estimation in approximate factor models
- Inferential Theory for Factor Models of Large Dimensions
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Power enhancement in high-dimensional cross-sectional tests
- Principal components estimation and identification of static factors
- Regularized estimation of large covariance matrices
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
Cited in
(18)- The GMM estimation of semiparametric spatial stochastic frontier models
- Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality
- Exponent of cross-sectional dependence for residuals
- Bootstrapping factor-augmented regression models
- Factor-based imputation of missing values and covariances in panel data of large dimensions
- Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
- Improving the finite sample performance of autoregression estimators in dynamic factor models: a bootstrap approach
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- Cross-section bootstrap for CCE regressions
- Bootstrap analysis of mutual fund performance
- A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
- Confidence intervals of treatment effects in panel data models with interactive fixed effects
- Robust Inference for Diffusion-Index Forecasts With Cross-Sectionally Dependent Data
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Inference for large dimensional factor models under general missing data patterns
- Spanning latent and observable factors
- Factor-driven two-regime regression
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