Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
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Publication:5251510
DOI10.1111/jtsa.12118zbMath1312.62039OpenAlexW1958202065MaRDI QIDQ5251510
Benoit Perron, Antoine A. Djogbenou, Sílvia Gonçalves
Publication date: 20 May 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://cirano.qc.ca/files/publications/2015s-20.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bootstrap, jackknife and other resampling methods (62F40)
Related Items (7)
Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Cross-section bootstrap for CCE regressions ⋮ A block bootstrap for quasi-likelihood in sparse functional data ⋮ Tests for group-specific heterogeneity in high-dimensional factor models ⋮ Bootstrapping factor models with cross sectional dependence ⋮ Confidence intervals in regressions with estimated factors and idiosyncratic components ⋮ Model selection in factor-augmented regressions with estimated factors
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A bootstrap-assisted spectral test of white noise under unknown dependence
- Resampling methods for dependent data
- Principal components estimation and identification of static factors
- Bootstrapping factor-augmented regression models
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Stochastic Limit Theory
- A bootstrap procedure in linear regression with nonstationary errors
- Forecasting Using Principal Components From a Large Number of Predictors
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- The Dependent Wild Bootstrap
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- The bootstrap and Edgeworth expansion
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