Simultaneous statistical inference in dynamic factor models
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Publication:5280122
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Cites work
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- A Stepwise Resampling Method of Multiple Hypothesis Testing
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- Dependency and false discovery rate: asymptotics
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- Factor models in high-dimensional time series: A time-domain approach
- False discovery rate control of step-up-down tests with special emphasis on the asymptotically optimal rejection curve
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- Identifying a Simplifying Structure in Time Series
- Likelihood-based specification tests for dynamic factor models
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- Multiple comparison procedures in linear models
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- On least favorable configurations for step-up-down tests
- On the false discovery rate and an asymptotically optimal rejection curve
- Parametric and nonparametric bootstrap methods for general MANOVA
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- Testing Statistical Hypotheses
- The Generalized Dynamic Factor Model
- The Simes Method for Multiple Hypothesis Testing With Positively Dependent Test Statistics
- The control of the false discovery rate in multiple testing under dependency.
- Time series modelling with semiparametric factor dynamics
Cited in
(10)- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Dynamic semi-parametric factor model for functional expectiles
- Likelihood-based specification tests for dynamic factor models
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- Estimation of dynamic models on the factors of marginal principal component analysis
- Multiple comparisons of mean vectors with large dimension under general conditions
- Hidden factor estimation in dynamic generalized factor analysis models
- Factor and Idiosyncratic Empirical Processes
- Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
- A spectral EM algorithm for dynamic factor models
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