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Bootstrap inference in regressions with estimated factors and serial correlation

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  • Antoine Djogbenou
  • Silvia Gonçalves
  • Benoit Perron

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  • Antoine Djogbenou & Silvia Gonçalves & Benoit Perron, 2015. "Bootstrap inference in regressions with estimated factors and serial correlation," CIRANO Working Papers 2015s-20, CIRANO.
    • Handle: RePEc:cir:cirwor:2015s-20
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    File URL: https://cirano.qc.ca/files/publications/2015s-20.pdf
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    References listed on IDEAS

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    1. Sílvia Gonçalves & Benoit Perron & Antoine Djogbenou, 2017. "Bootstrap Prediction Intervals for Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 53-69, January.
    2. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
    3. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
    4. Shao, Xiaofeng, 2011. "A bootstrap-assisted spectral test of white noise under unknown dependence," Journal of Econometrics, Elsevier, vol. 162(2), pages 213-224, June.
    5. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
    6. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
    7. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
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    Citations

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    Cited by:

    1. Gonçalves, Sílvia & Perron, Benoit, 2020. "Bootstrapping factor models with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 218(2), pages 476-495.
    2. Hounyo, Ulrich & Lahiri, Kajal, 2023. "Estimating the variance of a combined forecast: Bootstrap-based approach," Journal of Econometrics, Elsevier, vol. 232(2), pages 445-468.
    3. Sílvia Gonçalves & Benoit Perron & Antoine Djogbenou, 2017. "Bootstrap Prediction Intervals for Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 53-69, January.
    4. Antoine A. Djogbenou, 2020. "Comovements in the real activity of developed and emerging economies: A test of global versus specific international factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 344-370, April.
    5. Maldonado, Javier & Ruiz Ortega, Esther, 2017. "Accurate Subsampling Intervals of Principal Components Factors," DES - Working Papers. Statistics and Econometrics. WS 23974, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Fosten, Jack, 2017. "Confidence intervals in regressions with estimated factors and idiosyncratic components," Economics Letters, Elsevier, vol. 157(C), pages 71-74.
    7. Hande Karabiyik & Joakim Westerlund, 2021. "Forecasting using cross-section average–augmented time series regressions," The Econometrics Journal, Royal Economic Society, vol. 24(2), pages 315-333.
    8. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2017. "Density Forecasts With Midas Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 783-801, June.
    9. Yohei Yamamoto & Naoko Hara, 2022. "Identifying factor‐augmented vector autoregression models via changes in shock variances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 722-745, June.
    10. Antoine A. Djogbenou, 2021. "Model selection in factor-augmented regressions with estimated factors," Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 470-503, April.
    11. Djogbenou, Antoine & Sufana, Razvan, 2024. "Tests for group-specific heterogeneity in high-dimensional factor models," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
    12. Javier Maldonado & Esther Ruiz, 2021. "Accurate Confidence Regions for Principal Components Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(6), pages 1432-1453, December.
    13. Lixiong Yang, 2020. "State-dependent biases and the quality of China’s preliminary GDP announcements," Empirical Economics, Springer, vol. 59(6), pages 2663-2687, December.
    14. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.

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    Keywords

    Factor model; bootstrap; serial correlation; forecast.;
    All these keywords.

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