Similar Search Results

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10012145042

Tests of equal accuracy for nested models with estimated factors

Gonçalves, Sílvia; McCracken, Michael W.; Perron, Benoit - In: Journal of econometrics 198 (2017) 2, pp. 231-252

Persistent link: https://www.econbiz.de/10011818789

Confidence intervals in regressions with estimated factors and idiosyncratic components

Fosten, Jack - In: Economics letters 157 (2017), pp. 71-74

Persistent link: https://www.econbiz.de/10011847312

Testing nowcast monotonicity with estimated factors

Fosten, Jack; Gutknecht, Daniel - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 107-123

Persistent link: https://www.econbiz.de/10012179524

Identification and estimation of a large factor model with structural instability

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Journal of econometrics 197 (2017) 1, pp. 87-100

Persistent link: https://www.econbiz.de/10011818347

Investigating growth-at-risk using a multicountry non-parametric quantile factor model

Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2023

Persistent link: https://www.econbiz.de/10014384414

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...

Persistent link: https://www.econbiz.de/10011349021

Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data

Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79

Persistent link: https://www.econbiz.de/10012139780

On time-varying factor models : estimation and testing

Su, Liangjun; Wang, Xia - In: Journal of econometrics 198 (2017) 1, pp. 84-101

Persistent link: https://www.econbiz.de/10011818370

Non-parametric panel data models with interactive fixed effects

Freyberger, Joachim - In: The review of economic studies 85 (2018) 3, pp. 1824-1851

Persistent link: https://www.econbiz.de/10011923504

1
2
3
4
5
6
7
8
9
10
Next
Last