A predictive approach for selection of diffusion index models

DOI10.1080/07474938.2013.807105MaRDI QIDQ5080438zbMATH OpenOpenAlexFDO

Authors Tomohiro Ando, Ruey S. Tsay

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2013.807105

zbMATH Keywords

approximate factor modelcommon factorgenerated regressorpanel datapredictive measure

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(3)

• A time-varying diffusion index forecasting model
• Asymptotically efficient model selection for panel data forecasting
• Stock return predictability: a factor-augmented predictive regression system with shrinkage method

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