Bootstrap prediction intervals for factor models
Bibliographic record
Abstract
We propose bootstrap prediction intervals for an observation h periods into the future and its conditional mean. We assume that these forecasts are made using a set of factors extracted from a large panel of variables. Because we treat these factors as latent, our forecasts depend both on estimated factors and estimated regression coefficients. Under regularity conditions, Bai and Ng (2006) proposed the construction of asymptotic intervals under Gaussianity of the innovations. The bootstrap allows us to relax this assumption and to construct valid prediction intervals under more general conditions. Moreover, even under Gaussianity, the bootstrap leads to more accurate intervals in cases where the cross-sectional dimension is relatively small as it reduces the bias of the OLS estimator as shown in a recent paper by Gonçalves and Perron (2014).
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.019 | 0.136 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.002 | 0.002 |
| Bibliometrics | 0.003 | 0.003 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.002 | 0.004 |
| Open science | 0.003 | 0.002 |
| Research integrity | 0.002 | 0.004 |
| Insufficient payload (model declined to judge) | 0.005 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".