Forecasting with factor-augmented regression: a frequentist model averaging approach
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Publication:494163
DOI10.1016/j.jeconom.2015.02.010zbMath1332.62357OpenAlexW3124798525MaRDI QIDQ494163
Publication date: 31 August 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://economics.sas.upenn.edu/sites/default/files/filevault/12-046_0.pdf
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05)
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