Bootstrapping factor-augmented regression models

Journal of Econometrics

Volumn 182, Issue 1, 2014, Pages 156-173

  Gonçalves, Sílvia ^a,b,c   Perron, Benoit ^a,b,c  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b Canada H3A 2T7   (Canada)

^c CIRANO   (Canada)

Author keywords

Asymptotic bias; Bootstrap; Factor model

Indexed keywords

REGRESSION ANALYSIS;

ASYMPTOTIC BIAS; BOOTSTRAP; BOOTSTRAP METHOD; ESTIMATION ERRORS; FACTOR MODEL; HIGH-LEVEL CONDITIONS; LIMITING DISTRIBUTIONS; REGRESSION MODEL;

ESTIMATION;

EID: 84901833483     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2014.04.015     Document Type: Conference Paper

References (23)

1. J. Bai Inferential theory for factor models of large dimensions Econometrica 71 2003 135 172
2. J. Bai Panel data models with interactive fixed effects Econometrica 77 2009 1229 1279
3. J. Bai, and S. Ng Confidence intervals for diffusion index forecasts and inference with factor-augmented regressions Econometrica 74 2006 1133 1150
4. J. Bai, and S. Ng Principal components estimation and identification of the factors J. Econometrics 176 2013 18 29
5. J. Bai, and S. Ng Determining the number of factors in approximate factor models Econometrica 70 2002 191 221
6. R. Bhattacharya, and R. Rao Normal Approximation and Asymptotic Expansions 1986 Krieger
7. J. Boivin, and B.S. Bernanke Monetary policy in a data-rich environment J. Monetary Econ. 50 2003 525 546
8. G. Chamberlain, and M. Rothschild Arbitrage, factor structure and mean-variance analysis in large asset markets Econometrica 51 1983 1305 1324
9. Y. Chang, and J. Park A sieve bootstrap for the test of a unit root J. Time Ser. Anal. 24 2003 379 400
10. G. Cheng, and J.Z. Huang Bootstrap consistency for general semiparametric M-estimation Ann. Stat. 38 2010 2884 2915
11. G. Connor, and R.A. Korajczyk Performance measurement with the arbitrage pricing theory J. Finan. Econ. 15 1986 373 394
12. G. Connor, and R.A. Korajczyk A test for the number of factors in an approximate factor model J. Finance XLVIII 1993 1263 1291
13. V. Corradi, and N. Swanson Testing for structural stability of factor augmented forecasting models J. Econometrics 2014 (forthcoming)
14. Eichengreen, B.A. Mody, M. Nedeljkovic, and L. Sarno How the subprime crisis went global: evidence from bank credit default swap spreads J. Int. Money Finan. 31 2012 1299 1318
15. N. Gospodinov, and S. Ng Commodity prices, convenience yields and inflation Rev. Econ. Stat. 95 2013 206 219
16. S. Ludvigson, and S. Ng The empirical risk return relation: a factor analysis approach J. Finan. Econom. 83 2007 171 222
17. S. Ludvigson, and S. Ng Macro factors in bond risk premia Rev. Finan. Stud. 22 2009 5027 5067
18. S. Ludvigson, and S. Ng A factor analysis of bond risk premia A. Ullah, D. Giles, Handbook of Empirical Economics and Finance 2011 Chapman and Hall 313 372
19. A. Onatski Asymptotics of the principal components estimator of large factor models with weakly influential factors J. Econometrics 168 2012 244 258
20. M. Shintani, and Z.-Y. Guo Finite Sample Performance of Principal Components Estimators for Dynamic Factor Models: Asymptotic vs. Bootstrap Approximations, manuscript 2011 Vanderbilt University
21. J.H. Stock, and M. Watson Forecasting using principal components from a large number of predictors J. Amer. Statist. Assoc. 97 2002 1167 1179
22. A.W. van der Vaart Asymptotics Statistics 1998 Cambridge University Press
23. Y. Yamamoto Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions. Manuscript 2012 Hitotsubashi University Canada Canada