Bootstrapping factor-augmented regression models

DOI10.1016/j.jeconom.2014.04.015zbMath1311.62040OpenAlexW1978815015MaRDI QIDQ2451810

Benoit Perron, Sílvia Gonçalves

Publication date: 4 June 2014

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

Full work available at URL: https://cirano.qc.ca/files/publications/2012s-12.pdf

zbMATH Keywords

bootstrapasymptotic biasfactor model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (22)

Factor-driven two-regime regression ⋮ Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach ⋮ Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Cross-section bootstrap for CCE regressions ⋮ Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors ⋮ Bootstrap analysis of mutual fund performance ⋮ Factor modeling of multivariate time series: a frequency components approach ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Testing for structural stability of factor augmented forecasting models ⋮ Bootstrapping factor models with cross sectional dependence ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Forecasting with factor-augmented regression: a frequentist model averaging approach ⋮ Bootstrap inference for linear dynamic panel data models with individual fixed effects ⋮ Tests of equal accuracy for nested models with estimated factors ⋮ On bootstrapping panel factor series ⋮ Confidence intervals in regressions with estimated factors and idiosyncratic components ⋮ Testing for Granger causality in large mixed-frequency VARs ⋮ Tests for the explanatory power of latent factors ⋮ Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation ⋮ Model selection in factor-augmented regressions with estimated factors

Cites Work

• Unnamed Item
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Bootstrap consistency for general semiparametric \(M\)-estimation
• Principal components estimation and identification of static factors
• Testing for structural stability of factor augmented forecasting models
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Asymptotic Statistics
• A Sieve Bootstrap For The Test Of A Unit Root
• Forecasting Using Principal Components From a Large Number of Predictors
• Panel Data Models With Interactive Fixed Effects
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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