Model selection for generalized linear models with factor-augmented predictors

DOI10.1002/asmb.785zbMath1223.62129OpenAlexW4250370960MaRDI QIDQ3077468

Tomohiro Ando, Ruey S. Tsay

Publication date: 22 February 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.785

zbMATH Keywords

dimension reductioncommon factorsapproximate factor modelsestimated regressor

Mathematics Subject Classification ID

Related Items (3)

A Predictive Approach for Selection of Diffusion Index Models ⋮ Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market ⋮ Quantile regression models with factor‐augmented predictors and information criterion

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