Model selection for generalized linear models with factor-augmented predictors

DOI10.1002/asmb.785zbMath1223.62129MaRDI QIDQ3077468

Ruey S. Tsay, Tomohiro Ando

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 reduction; common factors; approximate factor models; estimated regressor

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62J12: Generalized linear models (logistic models)

62B10: Statistical aspects of information-theoretic topics

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Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market, Quantile regression models with factor‐augmented predictors and information criterion

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