Model selection in factor-augmented regressions with estimated factors
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Cites work
- Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
- Bootstrap Model Selection
- Bootstrapping factor-augmented regression models
- Cross-validation and multinomial prediction
- Determining the Number of Factors in Approximate Factor Models
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- scientific article; zbMATH DE number 1034037 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- Linear Model Selection by Cross-Validation
- Principal components estimation and identification of static factors
- Tests of equal accuracy for nested models with estimated factors
- The three-pass regression filter: a new approach to forecasting using many predictors
- Unexplained factors and their effects on second pass \(R\)-squared's
Cited in
(19)- Factor-Adjusted Regularized Model Selection
- Selecting an augmented random effects model
- On the estimation and inference in factor-augmented panel regressions with correlated loadings
- Consistent variable selection in large panels when factors are observable
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
- Model selection for generalized linear models with factor-augmented predictors
- scientific article; zbMATH DE number 6811485 (Why is no real title available?)
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
- Factor-augmented regression models with structural change
- Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
- Tests for group-specific heterogeneity in high-dimensional factor models
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Selection inconsistency for factor-augmented regressions
- Factor models and variable selection in high-dimensional regression analysis
- Consistent model selection for factor-augmented regression within hierarchical factor structures
- Consistent model selection for factor-augmented regressions
- Quantile prediction with factor-augmented regression: structural instability and model uncertainty
- Determining the number of factors in approximate factor models by twice K-fold cross validation
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