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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
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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
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Inference for Factor-Augmented Forecasting Regressions with Threshold effects
Yan, Yayi - 2020
This paper introduces a factor-augmented forecasting regression model in the presence of threshold effects. We consider least squares estimation of the regression parameters, and establish asymptotic theories for estimators of both slope coefficients and the threshold parameter. Prediction...
Persistent link: https://www.econbiz.de/10012849183
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Inference in predictive regression models with persistent regressors
Hillmann, Benjamin - 2021
Persistent link: https://www.econbiz.de/10012663790
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New methods for inference in long-run predictive regressions
Hjalmarsson, Erik - 2006
Persistent link: https://www.econbiz.de/10003336051
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Inferring the predictability induced by a persistent regressor in a predictive threshold model
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2015
Persistent link: https://www.econbiz.de/10010515364
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A New Robust Inference for Predictive Quantile Regression
Cai, Zongwu - 2020
proposes a double-weighted approach to offer a robust inferential theory across all types of persistent regressors. We first …
Persistent link: https://www.econbiz.de/10012834922
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Consistent Inference for Predictive Regressions in Persistent Economic Systems
Andersen, Torben G. - 2019
frequency ordinates. Contrary to existing procedures, we establish a uniform Gaussian limit theory and a standard $\chi^2 …
Persistent link: https://www.econbiz.de/10012889937
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Nonparametric estimation and conformal inference of the sufficient forecasting with a diverging number of factors
Yu, Xiufan; Yao, Jiawei; Xue, Lingzhou - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 342-354
Persistent link: https://www.econbiz.de/10012804117
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Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788
Persistent link: https://www.econbiz.de/10012654991