Testing Nowcast Monotonicity with Estimated Factors

DOI10.1080/07350015.2018.1458623MaRDI QIDQ6626289zbMATH OpenFDO

Authors Jack Fosten, Daniel Gutknecht

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2018.1458623

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A Reality Check for Data Snooping
• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
• Asymptotic Inference about Predictive Ability
• Block length selection in the bootstrap for time series
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Determining the Number of Factors in Approximate Factor Models
• Forecasting Using Principal Components From a Large Number of Predictors
• On blocking rules for the bootstrap with dependent data
• Robust out-of-sample inference
• Sur l'extension du théorème limite du calcul des probabilités aux sommes de quantités dépendantes.
• Testing for structural breaks in dynamic factor models
• Testing for structural stability of factor augmented forecasting models
• Testing monotonicity of regression.
• Tests of equal accuracy for nested models with estimated factors

Cited in

(1)

• Testing Quantile Forecast Optimality

This page was built for publication: Testing Nowcast Monotonicity with Estimated Factors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6626289)