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econ.EM2025
Identification- and many moment-robust inference via invariant moment conditions
Tom Boot, Johannes W. Ligtenberg
Identification-robust hypothesis tests are commonly based on the continuous updating GMM objective function. When the number of moment conditions grows proportionally with the samp…
econ.EM2025
Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections
Tom Boot, Bart Keijsers
We study the accuracy of forecasts in the diffusion index forecast model with possibly weak loadings. The default option to construct forecasts is to estimate the factors through p…