Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
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Publication:3418483
DOI10.1111/j.1468-0262.2006.00696.xzbMath1152.91721MaRDI QIDQ3418483
Publication date: 5 February 2007
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2006.00696.x
panel data; generated regressors; common factors; cross-section dependence; robust covariance matrix
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
91B84: Economic time series analysis
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