Consistent variable selection in large panels when factors are observable

DOI10.1016/J.JMVA.2005.07.003zbMATH Open1086.62128OpenAlexW1975222504MaRDI QIDQ2489495FDOQ2489495

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

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zbMATH Keywords

ConsistencyModel selectionConvergence in probabilityInformation criterionArbitrage pricing theory

Mathematics Subject Classification ID

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

Cites Work

• Determining the Number of Factors in Approximate Factor Models
• Consistent Variable Selection in Linear Models
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Title not available (Why is that?)
• A Reality Check for Data Snooping
• Common risk factors in the returns on stocks and bonds
• Notation in econometrics: a proposal for a standard
• Estimating Regression Models of Finite but Unknown Order

Cited In (6)

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

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