Uniform predictive inference for factor models with instrumental and idiosyncratic betas

DOI10.1016/j.jeconom.2022.11.007OpenAlexW4313554572MaRDI QIDQ6090585

Yuan Liao, Mingmian Cheng, Xiye Yang

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.11.007

zbMATH Keywords

high-frequency datauniform inferencelarge dimensional dataprojected PCAfactor-augmented prediction

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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