Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation

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

zbMATH Keywords

forecastbootstrapserial correlationfactor model

Mathematics Subject Classification ID

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

This page was built for publication: Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation