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Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions

dc.contributor.authorBai, Jushanen_US
dc.contributor.authorNg, Serenaen_US
dc.date.accessioned2010-06-01T20:44:12Z
dc.date.available2010-06-01T20:44:12Z
dc.date.issued2006-07en_US
dc.identifier.citationBai, Jushan; Ng, Serena (2006). "Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions." Econometrica 74(4): 1133-1150. <http://hdl.handle.net/2027.42/73839>en_US
dc.identifier.issn0012-9682en_US
dc.identifier.issn1468-0262en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/73839
dc.format.extent189313 bytes
dc.format.extent3109 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.publisherBlackwell Publishing Ltden_US
dc.rightsThe Econometric Society 2006en_US
dc.subject.otherPanel Dataen_US
dc.subject.otherCommon Factorsen_US
dc.subject.otherGenerated Regressorsen_US
dc.subject.otherCross-section Dependenceen_US
dc.subject.otherRobust Covariance Matrixen_US
dc.titleConfidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressionsen_US
dc.typeArticleen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.description.peerreviewedPeer Revieweden_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/73839/1/j.1468-0262.2006.00696.x.pdf
dc.identifier.doi10.1111/j.1468-0262.2006.00696.xen_US
dc.identifier.sourceEconometricaen_US
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dc.identifier.citedreferenceAngelini, E., J. Henry, and R. Mestre ( 2001 ): “ Diffusion Index-Based Inflation Forecasts for the Euro Area,” Working Paper 61, European Central Bank.[ 1133 ].en_US
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dc.identifier.citedreferenceBai, J. ( 2003 ): “ Inferential Theory for Factor Models of Large Dimensions,” Econometrica, 71, 135 – 172.[ 1138 ].en_US
dc.identifier.citedreferenceBai, J., S. Ng ( 2004 ): “ Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions,” http://www-personal.umich.edu/ngse/research.html.[ 1135 ].en_US
dc.identifier.citedreferenceBai, J., S. Ng ( 2006 ): “ Evaluating Latent and Observed Factors in Macroeconomics and Finance,” Journal of Econometrics, 113, 507 – 537.[ 1141 ].en_US
dc.identifier.citedreferenceBanerjee, A., M. Marcellino, and I. Masten ( 2004 ): “ Forecasting Macroeconomic Variables for the Acceding Countries,” Working Paper 260, IGIER.[ 1133 ].en_US
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dc.identifier.citedreferenceCristadoro, R., M. Forni, L. Reichlin, V. Giovanni ( 2001 ): “ A Core Inflation Index for the Euro Area,” Manuscript.[1133].en_US
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dc.identifier.citedreferenceFavero, C., M. Marcellino, and F. Neglia ( 2005 ): “ Principal Components at Work: The Empirical Analysis of Monetary Policy with Large Data Sets,” Journal of Applied Econometrics, 20, 603 – 620.[ 1137 ].en_US
dc.identifier.citedreferenceForni, M., M. Hallin, M. Lippi, L. Reichlin ( 2001 ): “ Do Financial Variables Help in Forecasting Inflation and Real Activity in the Euro Area,” Manuscript.[1133].en_US
dc.identifier.citedreferenceGiannone, D., L. Reichlin, and L. Sala ( 2002 ): “ Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited,” Manuscript.[1137].en_US
dc.identifier.citedreferenceGreene, W. ( 2003 ): Econometric Analysis ( Fifth Ed. ). Englewood Cliffs, NJ: Prentice-Hall.[ 1139 ].en_US
dc.identifier.citedreferenceNewey, W., K. West ( 1987 ): “ A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,” Econometrica, 55, 703 – 708.[ 1141 ].en_US
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dc.identifier.citedreferenceShintani, M. ( 2002 ): “ Nonlinear Analysis of Business Cycles Using Diffusion Indexes: Applications to Japan and the U.S.,” Mimeo, Vanderbilt University.[ 1133 ].en_US
dc.identifier.citedreferenceStock, J. H., M. W. Watson ( 2001 ): “ Forecasting Output and Inflation: The Role of Asset Prices,” Journal of Economic Literature, 47, 1 – 48.[ 1133 ].en_US
dc.identifier.citedreferenceStock, J. H., M. W. Watson ( 2002a ): “ Forecasting Using Principal Components from a Large Number of Predictors,” Journal of the American Statistical Association, 97, 1167 – 1179.[ 1134,1136,1142 ].en_US
dc.identifier.citedreferenceStock, J. H., M. W. Watson ( 2002b ): “ Macroeconomic Forecasting Using Diffusion Indexes,” Journal of Business & Economic Statistics, 20, 147 – 162.[ 1133 ].en_US
dc.owningcollnameInterdisciplinary and Peer-Reviewed


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