Uniform predictive inference for factor models with instrumental and idiosyncratic betas

DOI10.1016/J.JECONOM.2022.11.007MaRDI QIDQ6090585zbMATH OpenOpenAlexFDO

Authors Mingmian Cheng, Yuan Liao, Xiye Yang

Publication date 17 November 2023

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2022.11.007

zbMATH Keywords

factor-augmented predictionhigh-frequency datalarge dimensional dataprojected PCAuniform inference

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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