arXiv 8 Oct 2026 · Econometrics
arXiv:2610.12025 · PDF · Extracted main text
The paper develops a theory for selecting the rolling window when generating out-of-sample forecasts with factor-augmented regression (FAR) models in the presence of structural instabilities. It shows how to select a rolling window by minimizing the conditional mean squared forecast error (MSFE) while accounting for uncertainty in factor estimation. Because the conditional MSFE is unobserved and the factors are latent, this paper proposes a feasible version of the criterion and derives conditions under which the new method is asymptotically loss-efficient. A simulation experiment documents the procedure's performance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Gon calves, S\'ilvia and Perron, Benoit Bootstrapping factor-augmented regression models | 0.928 | 4 | 3 | 100% |
| 2 | Inoue, Atsushi and Jin, Lu and Rossi, Barbara (2017) Rolling window selection for out-of-sample forecasting with time-varying parameters | 0.858 | 19 | 5 | 63% |
| 3 | Bai, Jushan (2003) Inferential Theory for Factor Models of Large Dimensions | 0.855 | 8 | 4 | 62% |
| 4 | Bai, Jushan and Ng, Serena (2002) Determining the Number of Factors in Approximate Factor Models | 0.794 | 8 | 4 | 50% |
| 5 | Bai, Jushan and Ng, Serena (2006) Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions | 0.794 | 6 | 3 | 50% |
| 6 | Gon calves, S\'ilvia and McCracken, Michael W. and Perron, Benoit Tests of equal accuracy for nested models with estimated factors | 0.737 | 3 | 3 | 67% |
| 7 | Djogbenou, Antoine and Gon calves, S\'ilvia and Perron, Benoit (2015) Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation self | 0.644 | 2 | 2 | 100% |
| 8 | Knut Are Aastveit and Hilde C. Bjørnland and Leif Anders Thorsrud (2015) What Drives Oil Prices? Emerging Versus Developed Economies | 0.405 | 1 | 1 | 100% |
| 9 | Bernanke, Ben S. and Boivin, Jean and Eliasz, Piotr (2005) Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach | 0.405 | 1 | 1 | 100% |
| 10 | Breitung, Jorg and Eickmeier, Sandra (2011) Testing for structural breaks in dynamic factor models | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 28 scored citations.