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Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models

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  • Marine Carrasco
  • Barbara Rossi

Abstract

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Suggested Citation

  • Marine Carrasco & Barbara Rossi, 2016. "Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 353-356, July.
    • Handle: RePEc:taf:jnlbes:v:34:y:2016:i:3:p:353-356
    DOI: 10.1080/07350015.2016.1191500
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    Cited by:

    1. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022. "Machine Learning Time Series Regressions With an Application to Nowcasting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
    2. Laurent Ferrara & Anna Simoni, 2023. "When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1188-1202, October.
    3. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
    4. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    5. Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.

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