Factor-augmented forecasting regressions with threshold effects

DOI10.1093/ECTJ/UTAB011MaRDI QIDQ5083302zbMATH OpenOpenAlexFDO

Authors Yayi Yan, Tingting Cheng

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)

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

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