Tests of equal accuracy for nested models with estimated factors
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Publication:524817
DOI10.1016/j.jeconom.2017.01.004zbMath1395.62293OpenAlexW3121414996MaRDI QIDQ524817
Michael W. McCracken, Benoit Perron, Sílvia Gonçalves
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
factor modelrecursive estimationout-of-sample forecastspredictive abilityprincipal components estimator
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25)
Related Items (5)
Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors ⋮ Confidence intervals in regressions with estimated factors and idiosyncratic components ⋮ Tests for the explanatory power of latent factors ⋮ Model selection in factor-augmented regressions with estimated factors ⋮ Testing for time-varying factor loadings in high-dimensional factor models
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