Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
DOI10.1016/j.csda.2018.08.012zbMath1469.62055OpenAlexW2888237462MaRDI QIDQ1799812
Natalia Sirotko-Sibirskaya, Thorsten Dickhaus
Publication date: 19 October 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2018.08.012
bootstrapfamily-wise error ratemultiple hypothesis testingWald-type statisticmultivariate chi-square distributionempirical Fourier transform
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
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