Forecasting using cross-section average–augmented time series regressions

DOI10.1093/ECTJ/UTAA031MaRDI QIDQ5083271zbMATH OpenOpenAlexFDO

Authors Hande Karabiyik, Joakim Westerlund

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1093/ectj/utaa031

zbMATH Keywords

forecastingfactor-augmented regressionscross-section average

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(3)

• Tests for the explanatory power of latent factors
• Parametric estimation of long memory in factor models
• Generalized Forecast Averaging in Autoregressions with a Near Unit Root

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