Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version
Year of publication: |
2012-05-01
|
---|---|
Authors: | Cheng, Xu ; Hansen, Bruce E. |
Institutions: | Department of Economics, University of Pennsylvania |
Subject: | Cross-validation | factor models | forecast combination | generated regressors | Mallows |
-
Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach
Cheng, Xu, (2012)
-
Forecasting with factor-augmented regression : a frequentist model averaging approach
Cheng, Xu, (2015)
-
Forecasting GDP at the regional level with many predictors
Lehmann, Robert, (2013)
- More ...
-
Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach
Cheng, Xu, (2012)
-
Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version
Cheng, Xu, (2013)
-
Cheng, Xu, (2011)
- More ...