The authors acknowledge financial support from NSF Grants SES-0137084 and SES-0136923. We thank three anonymous referees, an editor, and seminar participants at Yale, Columbia, and Princeton for useful comments. This paper was also presented at the Conference on Common Features in London, 2004.
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
Version of Record online: 19 JUN 2006
Volume 74, Issue 4, pages 1133–1150, July 2006
How to Cite
Bai, J. and Ng, S. (2006), Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions. Econometrica, 74: 1133–1150. doi: 10.1111/j.1468-0262.2006.00696.x
- Issue online: 19 JUN 2006
- Version of Record online: 19 JUN 2006
- Manuscript received August, 2004; final revision received August, 2005.
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