Consistent model selection for factor-augmented regression within hierarchical factor structures

DOI10.1016/J.ECONLET.2025.112697MaRDI QIDQ6882943zbMATH OpenFDO

Authors Yundong Tu, Jinsha Zheng

Publication date 16 December 2025

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

model selectionfactor modelinformation criteriondistributed datahierarchical factor structure

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

Cites work

• Bridging factor and sparse models
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Consistent model selection for factor-augmented regressions
• Determining the Number of Factors in Approximate Factor Models
• Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
• Eigenvalue ratio test for the number of factors
• Inferential Theory for Factor Models of Large Dimensions
• Model selection in factor-augmented regressions with estimated factors
• Principal components estimation and identification of static factors

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