Consistent variable selection in large panels when factors are observable
DOI10.1016/j.jmva.2005.07.003zbMath1086.62128MaRDI QIDQ2489495
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
Model selection; Consistency; Convergence in probability; Information criterion; Arbitrage pricing theory
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis
62H12: Estimation in multivariate analysis
62J05: Linear regression; mixed models
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H15: Hypothesis testing in multivariate analysis
93E24: Least squares and related methods for stochastic control systems
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