Bootstrapping Factor-Augmented Regression Models

2014

85 citations recorded by the source corpus.

Citations in the corpus

What Drives Oil Prices? Emerging versus Developed Economies (2012, unknown): “Consistent with this, Hamilton (2009) has suggested that while the income elasticity of oil consumption in the US has declined over time (to 0.”
Simultaneous multiple change-point and factor analysis for high-dimensional time series (2016, unknown): “We refer to Trapani (2013), Corradi and Swanson (2014), Gonçalves and Perron (2014, 2016) for alternative bootstrap methods under factor models and Jentsch and Politis (2015) for the linear process ootstrap for multivariate time series in general.”
Testing for Structural Stability of Factor Augmented Forecasting Models (2014, unknown): “stancy of all factor loadings, which allow for some spatial correlation, have recently been suggested by Chen, Dolado and Gonzalo (2011) and by Han and Inoue (2012). In this paper, we go one step further, and we jointly test for the structural stability of factor loadings and of regression coe¢ cien”
Variable Selection in Predictive Regressions (2013, unknown): “The nature of this asymptotic bias is further analyzed in Goncalves and Perron (2011) in the context of bootstrapping.”
Estimation and Inference of FAVAR Models (2014, unknown): “There are additional studies considering the bootstrap method to construct confidence intervals for factor-augmented models, such as Goncalves and Perron (2014), Shintani and Guo (2011), Yamamoto (2011).”