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Uniform inference in predictive regression models

Chen, Willa W.; Deo, Rohit S.; Yi, Yanping - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 525-533

Persistent link: https://www.econbiz.de/10010337853

Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions

Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 4, pp. 1133-1150

Persistent link: https://www.econbiz.de/10003346183

Differencies transformations and inference in predictive regression models

Camponovo, Lorenzo - In: Econometric theory 31 (2015) 6, pp. 1331-1358

Persistent link: https://www.econbiz.de/10011545547

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - 2016 - This version: January 2, 2016

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider...

Persistent link: https://www.econbiz.de/10011518987