macroeconomic and financial series using various estimation strategies. These factors are then included, along with standard …) Factors estimated using recursive principal component estimation methods have more predictive content than those estimated …-MIDAS models, across virtually all forecast horizons, estimation schemes, and data vintages that are analyzed …

uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …

uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …). -- block bootstrap ; forecasting ; recursive estimation scheme ; rolling estimation scheme ; model misspecification ; nonlinear …

uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error on …-sample estimation periods are ended any time during the 1980s, but less evidence during the 1970s. Furthermore, recursive estimation …

estimation error is crucial to understanding the empirical performance of such models. This "parameter estimation error" result …

parameter estimation error is crucial to understanding the empirical performance of such models. This quot;parameter estimation …