Bootstrap Prediction Intervals for Factor Models
因子模型的Bootstrap预测区间
We propose bootstrap prediction intervals for an observation h periods into the future and its conditional mean. We assume that these forecasts are made using a set of factors extracted from a large panel of variables. Because we treat these factors as latent, our forecasts depend both on estimated factors and estimated regression coefficients. Under regularity conditions, asymptotic intervals have been shown to be valid under Gaussianity of the innovations. The bootstrap…