Factor-Adjusted Regularized Model Selection

DOI10.48550/arXiv.1612.08490zbMath1456.62114arXiv1612.08490OpenAlexW3005119431WikidataQ91740386 ScholiaQ91740386MaRDI QIDQ150847

Yuan Ke, Kaizheng Wang, Jianqing Fan, Jianqing Fan, Yuan Ke, Kaizheng Wang

Publication date: 27 December 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.08490

zbMATH Keywords

time seriesfactor modelmodel selection consistencycorrelated covariatesregularized \(M\)-estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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Uses Software

• R
• glmnet
• FarmSelect

Cites Work

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