Search Results - subject:"Dimension Reduction"

Specification testing of regression models with mixed discrete and continuous predictors

Zhu, Xuehu; Zhang, Qiming; Zhu, Lixing; Zhang, Jun; Yu, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1101-1115

Persistent link: https://www.econbiz.de/10014448569

Bayesian state space models in macroeconometrics

Chan, Joshua; Strachan, Rodney W. - In: Journal of economic surveys 37 (2023) 1, pp. 58-75

Persistent link: https://www.econbiz.de/10014287769

Forecasting gold volatility with geopolitical risk indices

Li, Xiafei; Guo, Qiang; Liang, Chao; Umar, Muhammad - In: Research in international business and finance 64 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014266744

Supervised kernel principal component analysis for forecasting

Fang, Puyi; Gao, Zhaoxing; Tsay, Ruey S. - In: Finance research letters 58 (2023) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10014581032

Mahalanobis distances on factor model based estimation

Dai, Deliang - In: Econometrics 8 (2020) 1, pp. 1-11

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects...

Persistent link: https://www.econbiz.de/10012696273