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PRODID:-//AMSE//Event Calendar//FR
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UID:event-8778@amse-aixmarseille.fr
DTSTAMP:20260416T171039Z
CREATED:20260416T171039Z
LAST-MODIFIED:20260416T171039Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:job market seminar - Ovidijus Stauskas
DTSTART:20220118T103000Z
DTEND:20220118T114500Z
DESCRIPTION:In this paper\, we propose new tests of equal predictive abilit
 y between nested models when factor-augmented regressions are used to forec
 ast. In contrast to the previous literature\, the unknown factors are not 
 estimated by principal components but by the common correlated effects (CCE
 ) approach\, which employs cross-sectional averages of blocks of variables
 . This makes for easy interpretation of the estimated factors\, and the res
 ulting tests are simple to implement and they account for the block structu
 re of the data. Assuming that the number of averages is larger than the tru
 e number of factors\, we establish the limiting distributions of the new te
 sts as the number of time periods and the number of variables within each b
 lock jointly go to infinity. The main finding is that the limiting distribu
 tions do not depend on the number of factors but only on the number of aver
 ages\, which is known. The important practical implication of this finding 
 is that one does not need to estimate the number of factors consistently in
  order to apply our tests.\\n\\nContact: Frédéric Deroïan: frederic.der
 oian[at]univ-amu.fr\n\nPlus d'informations: https://amse-aixmarseille.fr/en
 /events/ovidijus-stauskas-0
URL;VALUE=URI:https://amse-aixmarseille.fr/en/events/ovidijus-stauskas-0
CONTACT:Frédéric Deroïan:&nbsp\;frederic.deroian[at]univ-amu.fr
TRANSP:OPAQUE
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