Model selection for generalized linear models with factor-augmented predictors

DOI10.1002/ASMB.785MaRDI QIDQ3077468zbMATH OpenOpenAlexFDO

Authors Tomohiro Ando, Ruey S. Tsay

Publication date 22 February 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.785

zbMATH Keywords

dimension reductioncommon factorsapproximate factor modelsestimated regressor

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Factor analysis and principal components; correspondence analysis (62H25) Generalized linear models (logistic models) (62J12)

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Cites work

• scientific article; zbMATH DE number 3945130 (Why is no real title available?)
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• Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting in dynamic factor models using Bayesian model averaging
• Generalised information criteria in model selection
• Inferential Theory for Factor Models of Large Dimensions
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• On Information and Sufficiency
• The generalized dynamic factor model consistency and rates

Cited in

(7)

• Quantile regression models with factor‐augmented predictors and information criterion
• Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
• Selecting an augmented random effects model
• Factor-Adjusted Regularized Model Selection
• Factor models and variable selection in high-dimensional regression analysis
• A predictive approach for selection of diffusion index models
• Log-symmetric regression models: information criteria and application to movie business and industry data with economic implications

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