Tests of equal accuracy for nested models with estimated factors

DOI10.1016/J.JECONOM.2017.01.004MaRDI QIDQ524817zbMATH OpenOpenAlexFDO

Authors Sílvia Gonçalves, Michael W. McCracken, Benoit Perron

Publication date 26 April 2017

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

Full work available at URL https://research.stlouisfed.org/wp/2015/2015-025.pdf

zbMATH Keywords

factor modelout-of-sample forecastspredictive abilityprincipal components estimatorrecursive estimation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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Cites work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotic Inference about Predictive Ability
• Asymptotic inference about predictive accuracy using high frequency data
• Asymptotics for out of sample tests of Granger causality
• Bootstrapping factor-augmented regression models
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Equivalence between out-of-sample forecast comparisons and Wald statistics
• Evaluating Direct Multistep Forecasts
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Inferential Theory for Factor Models of Large Dimensions
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• Matrix Analysis
• On the asymptotic normality of statistics with estimated parameters
• Panel data models with interactive fixed effects
• Principal components estimation and identification of static factors
• Statistical analysis of factor models of high dimension
• Tests for parameter instability in dynamic factor models
• Tests of equal forecast accuracy and encompassing for nested models
• The three-pass regression filter: a new approach to forecasting using many predictors
• Two Stage and Related Estimators and Their Applications

Cited in

(11)

• Confidence intervals in regressions with estimated factors and idiosyncratic components
• Tests for the explanatory power of latent factors
• Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
• Nested forecast model comparisons: a new approach to testing equal accuracy
• Approximately normal tests for equal predictive accuracy in nested models
• Model selection in factor-augmented regressions with estimated factors
• Testing for time-varying factor loadings in high-dimensional factor models
• Tests of equal forecast accuracy and encompassing for nested models
• Predictive ability tests with possibly overlapping models
• Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
• Testing Nowcast Monotonicity with Estimated Factors

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