Bootstrap inference in factor-augmented regressions with weak factors

Peiyun Jiang and Takashi Yamagata

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Abstract: In this paper, we develop bootstrap methods for factor-augmented regressions with potentially weak common components, allowing signal eigenvalues to diverge at heterogeneous rates $N^{\alpha_k}$, where $0

Date: 2025-10, Revised 2026-10
New Economics Papers: this item is included in nep-ecm, nep-inv and nep-mac
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