Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Mingmian Cheng, Yuan Liao, Xiye Yang
| Year of publication: |
2023
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|---|---|
| Authors: | Cheng, Mingmian ; Liao, Yuan ; Yang, Xiye |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 2,3, p. 1-28
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| Subject: | Factor-augmented prediction | High-frequency data | Large dimensional data | Projected PCA | Uniform inference | Prognoseverfahren | Forecasting model | Induktive Statistik | Statistical inference | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2022.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471816