F-test and z-test for high-dimensional regression models with a factor structure

DOI10.1080/00949655.2022.2062357MaRDI QIDQ5040532zbMATH OpenOpenAlexFDO

Authors Mingjing Chen

Publication date 17 October 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2022.2062357

zbMATH Keywords

common correlated effectfactorhigh-dimensionalmultiple testing

Mathematics Subject Classification ID

Statistics (62-XX) Parametric hypothesis testing (62F03)

Cites work

• A factor model approach to multiple testing under dependence
• A self-reliant projected information criterion for the number of factors
• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• Confidence intervals for low dimensional parameters in high dimensional linear models
• Cross-sectional averages versus principal components
• Determining the Number of Factors in Approximate Factor Models
• Eigenvalue ratio test for the number of factors
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• Factor profiled sure independence screening
• Factor-Adjusted Regularized Model Selection
• High Dimensional Variable Selection via Tilting
• Improved penalization for determining the number of factors in approximate factor models
• On the role of the rank condition in CCE estimation of factor-augmented panel regressions
• Robust determination for the number of common factors in the approximate factor models
• Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
• Testing a single regression coefficient in high dimensional linear models
• Testing Against a High Dimensional Alternative
• Testing against a high-dimensional alternative in the generalized linear model: asymptotic type I error control
• Testing covariates in high dimension linear regression with latent factors
• Testing covariates in high-dimensional regression
• Tests for high-dimensional regression coefficients with factorial designs
• Tests for the explanatory power of latent factors
• Time varying factor models with possibly strongly correlated noises
• Unbiased CCE estimator for interactive fixed effects panels

Describes a project that uses

Uses Software

• FAMT

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