Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "Factor model"
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Bootstrapping factor models with cross sectional dependence
(Université de Montréal. Département de sciences économiques., 2018-07)We consider bootstrap methods for factor-augmented regressions with cross sectional dependence among idiosyncratic errors. This is important to capture the bias of the OLS estimator derived recently by Gonçalves and Perron (2014). We first show that a ...