Consistent model selection for factor-augmented regressions

DOI10.1016/J.ECONLET.2025.112331MaRDI QIDQ6957264zbMATH OpenFDO

Authors Yundong Tu, Siwei Wang

Publication date 16 July 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112331

zbMATH Keywords

data rich environmentfactor estimation errorinformation criterionmodel selectionselection consistency

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

Cites work

• Are more data always better for factor analysis?
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Determining the Number of Factors in Approximate Factor Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Model selection in factor-augmented regressions with estimated factors
• Selection inconsistency for factor-augmented regressions

Cited in

(1)

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

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