On bootstrapping panel factor series
From MaRDI portal
Publication:528127
DOI10.1016/J.JECONOM.2012.09.001zbMATH Open1443.62289OpenAlexW2014546841MaRDI QIDQ528127FDOQ528127
Authors: Lorenzo Trapani 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13956/1/Trapani4R.pdf
Recommendations
- Bootstrapping factor-augmented regression models
- Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
- Bootstrap unit root tests in panels with cross-sectional dependency
- Sieve bootstrapt-tests on long-run average parameters
- Cross-sectional dependence robust block bootstrap panel unit root tests
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- Linear Regression Limit Theory for Nonstationary Panel Data
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Sieve bootstrap for time series
- High dimensional covariance matrix estimation using a factor model
- Asymptotics for linear processes
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- REGRESSION, AUTOREGRESSION MODELS
- AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
- A bootstrap procedure for panel data sets with many cross-sectional units
- Bootstrap Unit Root Tests
- A PANIC attack on unit roots and cointegration.
- Texture synthesis and nonparametric resampling of random fields
- Title not available (Why is that?)
- Infinite-dimensional VARs and factor models
- Bootstrapping cointegrating regressions
- Evaluating latent and observed factors in macroeconomics and finance
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- Bounds for the infinity norm of the inverse for certain \(M\)- and \(H\)-matrices
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Estimating cross-section common stochastic trends in nonstationary panel data
- Strong invariance principle for dependent random fields
- Bootstrapping factor-augmented regression models
- Strong approximation for set-indexed partial sum processes via KMT constructions. I
- Efficient estimation of factor models
- Asymptotics for Panel Models with Common Shocks
Cited In (11)
- Detecting common longevity trends by a multiple population approach
- Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
- Inferential theory for heterogeneity and cointegration in large panels
- Limit theorems for factor models
- Bootstrapping factor-augmented regression models
- A bootstrap procedure for panel data sets with many cross-sectional units
- Computational framework for longevity risk management
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- Sieve bootstrapt-tests on long-run average parameters
- First-differenced inference for panel factor series
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
This page was built for publication: On bootstrapping panel factor series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528127)
