Bootstrapping factor models with cross sectional dependence

DOI10.1016/j.jeconom.2020.04.026zbMath1464.62318OpenAlexW3027034296MaRDI QIDQ2227057

Benoit Perron, Sílvia Gonçalves

Publication date: 9 February 2021

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

Full work available at URL: http://www.cireqmontreal.com/wp-content/uploads/cahiers/10-2018-cah.pdf

zbMATH Keywords

bootstrapasymptotic biasthresholdingfactor modelcross-sectional dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (10)

Factor-driven two-regime regression ⋮ Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors ⋮ Cross-section bootstrap for CCE regressions ⋮ Bootstrap analysis of mutual fund performance ⋮ Factor-based imputation of missing values and covariances in panel data of large dimensions ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Confidence intervals of treatment effects in panel data models with interactive fixed effects ⋮ Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality ⋮ Exponent of cross-sectional dependence for residuals ⋮ The GMM estimation of semiparametric spatial stochastic frontier models

Cites Work

• High-dimensional covariance matrix estimation in approximate factor models
• Covariance regularization by thresholding
• Principal components estimation and identification of static factors
• Bootstrapping factor-augmented regression models
• Regularized estimation of large covariance matrices
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS
• Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Forecasting Using Principal Components From a Large Number of Predictors
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Power Enhancement in High-Dimensional Cross-Sectional Tests
• THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
• Generalized Thresholding of Large Covariance Matrices
• Inferential Theory for Factor Models of Large Dimensions
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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