Factor-augmented forecasting regressions with threshold effects

DOI10.1093/ECTJ/UTAB011OpenAlexW3151728673MaRDI QIDQ5083302FDOQ5083302

Tingting Cheng, Yayi Yan

Publication date: 22 June 2022

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/ectj/utab011

zbMATH Keywords

likelihood ratio statisticthreshold parameterfactor-augmented regressionforecasting error

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (4)

• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Estimation and Inference on Time-Varying FAVAR Models
• Factor-augmented regression models with structural change
• Nonlinear Forecasting Using Factor‐Augmented Models

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