Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
Year of publication: |
2004-08-17
|
---|---|
Authors: | Bai, Jushan ; Ng, Serena |
Institutions: | EconWPA |
Subject: | Panel data | common factors | generated regressors | cross- section dependence | robust covariance matrix |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf |
Classification: | C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling |
Source: |
-
The economic research potentials of the German Socio-Economic Panel study
Schröder, Carsten, (2020)
-
Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models
Choi, Chi-Young, (2004)
-
Another Look At What To Do With Time-Series Cross-Section Data
Chen, Xiujian, (2005)
- More ...
-
Evaluating Latent and Observed Factors in Macroeconomics and Financ
Bai, Jushan, (2004)
-
A consistent test for conditional symmetry in time series models
Bai, Jushan, (2001)
-
Determining the number of factors in approximate factor models
Bai, Jushan, (2002)
- More ...