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Forecasting using cross-section average–augmented time series regressions. (2021). Westerlund, Joakim ; Karabiyik, Hande.
In: Econometrics Journal.
RePEc:oup:emjrnl:v:24:y:2021:i:2:p:315-333..

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  1. Stein-like Common Correlated Effects Estimation under Structural Breaks. (2024). Parsaeian, Shahnaz.
    In: Econometrics.
    RePEc:gam:jecnmx:v:12:y:2024:i:2:p:11-:d:1378087.

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  2. Flights-to-safety and macroeconomic adjustment in emerging markets: The role of U.S. monetary policy. (2023). Ahmed, Rashad.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000281.

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  3. Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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  4. Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre.
    In: CREATES Research Papers.
    RePEc:aah:create:2022-10.

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References

References cited by this document

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  18. Downloaded from https://academic.oup.com/ectj/article/24/2/315/5921167 by White and Case LLP user on July Forecasting augmented time series regressions 333 Karabiyik, H., J.-P. Urbain and J. Westerlund (2019). CCE estimation of factor-augmented regression models with more factors than observables. Journal of Applied Econometrics 34, 268–84.
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  31. Stock, J. H. and M. W. Watson (2005). Implications of dynamic factor models for VAR analysis. NBER Working Paper No. 11467, Department of Economics, Harvard University.

  32. Stock, J. H. and M. W. Watson (2009). Forecasting in dynamic factor models subject to structural instability. In N. Shephard and J. Castle (Eds.), The Methodology and Practice of Econometrics: Festschrift in Honor of David F. Hendry, pp. 1–57. Oxford University Press: Oxford.
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  33. Timmermann, A. (2006). Forecast combinations. In G. Elliot, C. W. J. Granger and A. Timmermann (Eds.), Handbook of Economic Forecasting, Volume. 1, pp. 135–96. Amsterdam: Elsevier.

  34. Westerlund, J. and J.-P. Urbain (2015). Cross-Sectional averages versus principal components. Journal of Econometrics 85, 372–77. SUPPORTING INFORMATION Additional Supporting Information may be found in the online version of this article at the publisher’s website: Online Appendix Replication Package Co-editor Dennis Kristensen handled this manuscript. C

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