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We extend conformal inference to general settings that allow for time series data. Our proposal is developed as a randomization method and accounts for potential serial dependence by including block structures in the permutation scheme. As a result, the proposed method retains the exact,...
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We consider large factor models with unobserved factors. We formalize the notion of common factors between different groups of variables and propose to use it as a general approach to study the structure of factors, i.e., which factors drive which variables. The spanning hypothesis, which states...
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It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...
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In this paper, we estimate the time-varying COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model. Our measurement of the contact rate is constructed using data on actively infected, recovered and deceased cases. We propose a new trend filtering method that is a variant of the...
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We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial economics where factor betas depend on observed...
Persistent link: https://www.econbiz.de/10012932123