Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions

Econometrica

Volumn 74, Issue 4, 2006, Pages 1133-1150

  Bai, Jushan ^a,b   Ng, Serena ^c  

^a NEW YORK UNIVERSITY   (United States)

^b Tsinghua University   (China)

^c UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Common factors; Cross section dependence; Generated regressors; Panel data; Robust covariance matrix

Indexed keywords

EID: 33745304373     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2006.00696.x     Document Type: Article

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