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The macroeconomic determinants of Nifty : a quantitative approach based on causal factoring
Subathra, R.; Mohideen, A. Kachi - In: International journal of economics and business research 10 (2015) 3, pp. 247-257
Persistent link: https://www.econbiz.de/10011499989
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Estimation of random coefficients logit demand models with interactive fixed effects
Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2017 - This version: February 15, 2017
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coeffcients discrete-choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...
Persistent link: https://www.econbiz.de/10011603891
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Forecasting with factor-augmented regression : a frequentist model averaging approach
Cheng, Xu; Hansen, Bruce E. - In: Journal of econometrics 186 (2015) 2, pp. 280-293
Persistent link: https://www.econbiz.de/10011349480
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Mining big data using parsimonious factor and shrinkage methods
Kim, Hyun Hak; Swanson, Norman R. - 2013
component analysis (SPCA), coupled with a variety of other factor estimation as well as data shrinkage methods, including … estimation of 28 different baseline model types, each constructed using a variety of specification approaches, estimation … our "horse-race" numerous complex new models involve combining complicated factor estimation methods with interesting new …
Persistent link: https://www.econbiz.de/10009766687
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A medium-N approach to macroeconomic forecasting
Cubadda, Gianluca; Guardabascio, Barbara - In: Economic modelling 29 (2012) 4, pp. 1099-1105
Persistent link: https://www.econbiz.de/10009667434
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Sparse and robust factor modelling
Croux, Christophe; Exterkate, Peter - 2011
Persistent link: https://www.econbiz.de/10009720758
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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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Factor-based forecasting in the presence of outliers : are factors better selected and estimated by the median than by the mean?
Kristensen, Johannes Tang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 309-338
Persistent link: https://www.econbiz.de/10010384286
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Asymptotics of the principal components estimator of large factor models with weakly influential factors
Onatski, Alexei - In: Journal of econometrics 168 (2012) 2, pp. 244-258
Persistent link: https://www.econbiz.de/10009612743
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High-Frequency Factor Models and Regressions
Ait-Sahalia, Yacine - 2019
We consider a nonparametric time series regression model. Our framework allows precise estimation of betas without the …
Persistent link: https://www.econbiz.de/10012894411