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 |