A Predictive Approach for Selection of Diffusion Index Models

DOI10.1080/07474938.2013.807105zbMath1491.62175OpenAlexW2065357206MaRDI QIDQ5080438

Tomohiro Ando, Ruey S. Tsay

Publication date: 31 May 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2013.807105

zbMATH Keywords

panel datacommon factorpredictive measureapproximate factor modelgenerated regressor

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Stock return predictability: A factor-augmented predictive regression system with shrinkage method

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