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Bootstrapping factor-augmented regression models

✍ Scribed by Gonçalves, Sílvia; Perron, Benoit

Book ID
123282891
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
530 KB
Volume
182
Category
Article
ISSN
0304-4076

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Bootstrap methods can be used as an alternative for cross-validation in regression procedures such as principal component regression (PCR). Several bootstrap methods for the estimation of prediction errors and confidence intervals are presented. It is shown that bootstrap error estimates are consist