A predictive approach for selection of diffusion index models

DOI10.1080/07474938.2013.807105zbMATH Open1491.62175OpenAlexW2065357206MaRDI QIDQ5080438FDOQ5080438

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

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zbMATH Keywords

panel datacommon factorpredictive measureapproximate factor modelgenerated regressor

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)

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

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