Model selection for generalized linear models with factor-augmented predictors (Q3077468): Difference between revisions

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+https://doi.org/10.1002/asmb.785
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+W4250370960
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+Q3716094
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+Inferential Theory for Factor Models of Large Dimensions
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+Determining the Number of Factors in Approximate Factor Models
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+Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
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+Are more data always better for factor analysis?
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+Q4807277
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+Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
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+The generalized dynamic factor model consistency and rates
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+Forecasting in dynamic factor models using Bayesian model averaging
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Determining the Number of Factors in the General Dynamic Factor Model
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+Generalised information criteria in model selection
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+CHALLENGES FOR ECONOMETRIC MODEL SELECTION
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+Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
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+A new look at the statistical model identification
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+On Information and Sufficiency
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