Model selection in factor-augmented regressions with estimated factors
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Publication:5862416
DOI10.1080/07474938.2020.1808371zbMath1490.62288OpenAlexW2774057695MaRDI QIDQ5862416
Publication date: 9 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://ageconsearch.umn.edu/record/274717/files/qed_wp_1391.pdf
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (3)
Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors ⋮ Tests for group-specific heterogeneity in high-dimensional factor models ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes
Cites Work
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- The three-pass regression filter: a new approach to forecasting using many predictors
- Unexplained factors and their effects on second pass \(R\)-squared's
- Tests of equal accuracy for nested models with estimated factors
- Principal components estimation and identification of static factors
- Bootstrapping factor-augmented regression models
- Bootstrap Model Selection
- Cross-validation and multinomial prediction
- Forecasting Using Principal Components From a Large Number of Predictors
- Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
- Linear Model Selection by Cross-Validation
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
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