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Model selection in factor-augmented regressions with estimated factors
Djogbenou, Antoine A. - In: Econometric reviews 40 (2021) 5, pp. 470-503
Persistent link: https://www.econbiz.de/10012515615
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Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang; Shaojun, Guo; Long, Yonghong - In: Econometric reviews 41 (2022) 5, pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
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Factor model forecasts of exchange rates
Engel, Charles; Mark, Nelson C.; West, Kenneth D. - In: Econometric reviews 34 (2015) 1/2, pp. 32-55
Persistent link: https://www.econbiz.de/10011373312
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A predictive approach for selection of diffusion index models
Ando, Tomohiro; Tsay, Ruey S. - In: Econometric reviews 33 (2014) 1/4, pp. 68-99
Persistent link: https://www.econbiz.de/10010358477
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Improving the finite sample performance of autoregression estimators in dynamic factor models : a bootstrap approach
Shintani, Mototsugu; Guo, Zi-Yi - In: Econometric reviews 37 (2018) 1/5, pp. 360-379
Persistent link: https://www.econbiz.de/10012039266
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Estimation of factor-augmented panel regressions with weakly influential factors
Reese, Simon; Westerlund, Joakim - In: Econometric reviews 37 (2018) 1/5, pp. 401-465
Persistent link: https://www.econbiz.de/10012039354
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Independent factor autoregressive conditional density model
Ghalanos, Alexios; Rossi, Eduardo; Urga, Giovanni - In: Econometric reviews 34 (2015) 1/5, pp. 594-616
Persistent link: https://www.econbiz.de/10011373255
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Testing for time-varying factor loadings in high-dimensional factor models
Xu, Wen - In: Econometric reviews 41 (2022) 8, pp. 918-965
Persistent link: https://www.econbiz.de/10013364920
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Constructing common factors from continuous and categorical data
Ng, Serena - In: Econometric reviews 34 (2015) 6/10, pp. 1141-1171
Persistent link: https://www.econbiz.de/10011483453
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Modelling the persistence of conditional variances
Engle, Robert F. - In: Econometric reviews 5 (1986) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10001016525