Selection inconsistency for factor-augmented regressions

DOI10.1016/j.econlet.2024.111840MaRDI QIDQ6594862

Yundong Tu, Siwei Wang

Publication date: 29 August 2024

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

model selectioninformation criterionfactor modelselection consistency

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Principal components estimation and identification of static factors
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• Model selection in factor-augmented regressions with estimated factors

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