Simultaneous Statistical Inference in Dynamic Factor Models
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References listed on IDEAS
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More about this item
Keywordsfamily-wise error rate; false discovery rate; likelihood ratio statistic; multiple hypothesis testing; multivariate chi-squared distribution; time series regression; Wald statistic;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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