4 papers
Bootstrap Inference for Dynamic Panel Data Models with Common Correlated Effects
Arturas Juodis, Ovidijus Stauskas, Sander Tromp
We study recursive-design wild bootstrap inference for dynamic panel data models with unobserved common factors estimated by Common Correlated Effects. In the large N,T setting, th…
On Selection of Cross-Section Averages in Non-stationary Environments
Jan Ditzen, Ovidijus Stauskas
Information criteria (IC) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that IC perform well in Common Correlat…
Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD-QD Dataset
Alessandro Morico, Ovidijus Stauskas
We present four novel tests of equal predictive accuracy and encompassing à la Pitarakis (2023, 2025) for factor-augmented regressions, where factors are estimated using cross-sect…
New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings
Luca Margaritella, Ovidijus Stauskas
We provide the theoretical foundation for the recent tests of equal forecast accuracy and encompassing by Pitarakis (2023) and Pitarakis (2025), when the competing forecast specifi…