Quantile regression models with factor‐augmented predictors and information criterion

DOI10.1111/j.1368-423X.2010.00320.xzbMath1218.62061MaRDI QIDQ3018487

Ruey S. Tsay, Tomohiro Ando

Publication date: 27 July 2011

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

zbMATH Keywords

panel dataquantilesgenerated regressorsapproximate factor modelsinformation-theoretic approach

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

Related Items (10)

How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions? ⋮ Stock return predictability: A factor-augmented predictive regression system with shrinkage method ⋮ A Predictive Approach for Selection of Diffusion Index Models ⋮ Handling multicollinearity in quantile regression through the use of principal component regression ⋮ Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market ⋮ Factor instrumental variable quantile regression ⋮ Modeling associations among multivariate longitudinal categorical variables in survey data: a semiparametric Bayesian approach ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ Estimating and testing a quantile regression model with interactive effects ⋮ FACTORISABLE MULTITASK QUANTILE REGRESSION

Uses Software

• FinTS

Cites Work

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