Testing for structural stability of factor augmented forecasting models
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Publication:2451804
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Cites work
- Bootstrapping factor-augmented regression models
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Detecting and Predicting Forecast Breakdowns
- Detecting big structural breaks in large factor models
- Determining the Number of Factors in Approximate Factor Models
- Forecasting by factors, by variables, by both or neither?
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Forecasting in dynamic factor models subject to structural instability
- Forecasting in the presence of structural breaks and policy regime shifts
- Forecasting Using Principal Components From a Large Number of Predictors
- scientific article; zbMATH DE number 6811485 (Why is no real title available?)
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- Model selection when there are multiple breaks
- Modelling methodology and forecast failure
- Pooling of forecasts
- Predictive density and conditional confidence interval accuracy tests
- Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
- Testing for structural breaks in dynamic factor models
- Tests for parameter instability in dynamic factor models
Cited in
(36)- Real-time factor model forecasting and the effects of instability
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Testing for common breaks in a multiple equations system
- On testing for structural break of coefficients in factor-augmented regression models
- Estimation of large dimensional factor models with an unknown number of breaks
- Tests for the explanatory power of latent factors
- Analyzing cross-validation for forecasting with structural instability
- Sequential testing for structural stability in approximate factor models
- Estimating and testing high dimensional factor models with multiple structural changes
- Estimation and inference of change points in high-dimensional factor models
- On time-varying factor models: estimation and testing
- Tests for overidentifying restrictions in factor-augmented VAR models
- Bootstrapping factor-augmented regression models
- Consistent factor estimation in dynamic factor models with structural instability
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
- Group fused Lasso for large factor models with multiple structural breaks
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Tests for parameter instability in dynamic factor models
- Forecasting in dynamic factor models subject to structural instability
- Detecting big structural breaks in large factor models
- Identification and estimation of a large factor model with structural instability
- Tests of equal accuracy for nested models with estimated factors
- Testing for structural changes in factor models via a nonparametric regression
- Testing for time-varying factor loadings in high-dimensional factor models
- Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Estimation and Inference on Time-Varying FAVAR Models
- Testing Nowcast Monotonicity with Estimated Factors
- Changes in the span of systematic risk exposures
- Testing for sparse idiosyncratic components in factor-augmented regression models
- A refined bootstrap procedure for high-dimensional factor-augmented regression models
- Sieve estimation of state-varying factor models
- Distinguishing Time-Varying Factor Models
- Modelling large dimensional datasets with Markov switching factor models
- Moving sum procedure for multiple change point detection in large factor models
- Estimation of high-dimensional matrix factor models with change points
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