Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach

DOI10.1080/07474938.2015.1092825zbMath1490.62272OpenAlexW2313704583MaRDI QIDQ5034258

Zi-Yi Guo, Mototsugu Shintani

Publication date: 24 February 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.accessecon.com/pubs/VUECON/VUECON-15-00013.pdf

zbMATH Keywords

bootstrapprincipal componentsbias correctiondynamic factor model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The common and specific components of dynamic volatility
• On bootstrapping two-stage least-squares estimates in stationary linear models
• A dynamic factor approach to nonlinear stability analysis
• Bootstrap tests and confidence regions for functions of a covariance matrix
• Edgeworth correction by bootstrap in autoregressions
• Approximate bias correction in econometrics
• Technical progress and aggregate fluctuations
• Technology shocks and the business cycle: On empirical investigation
• Testing for a unit root in panels with dynamic factors
• Bootstrapping factor-augmented regression models
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Business Cycles and the Asset Structure of Foreign Trade
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Bootstrap Standard Error Estimates for Linear Regression
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• The bootstrap and Edgeworth expansion