Consistent variable selection in large panels when factors are observable

DOI10.1016/J.JMVA.2005.07.003MaRDI QIDQ2489495zbMATH OpenOpenAlexFDO

Authors Rachida Ouysse

Publication date 28 April 2006

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2005.07.003

zbMATH Keywords

Arbitrage pricing theoryConsistencyConvergence in probabilityInformation criterionModel selection

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Least squares and related methods for stochastic control systems (93E24)

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Cites work

• A Reality Check for Data Snooping
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Common risk factors in the returns on stocks and bonds
• Consistent Variable Selection in Linear Models
• Determining the Number of Factors in Approximate Factor Models
• Estimating Regression Models of Finite but Unknown Order
• scientific article; zbMATH DE number 1034040 (Why is no real title available?)
• Notation in econometrics: a proposal for a standard

Cited in

(6)

• Inference on common intraday periodicity at high frequencies
• Variable selection in panel models with breaks
• Bayesian variable selection and model averaging in the arbitrage pricing theory model
• Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
• Model selection in factor-augmented regressions with estimated factors
• Variable selection in heterogeneous panel data models with cross‐sectional dependence

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