✦ LIBER ✦

Model Selection Criteria for Factor-Augmented Regressions

✍ Scribed by Jan J. J. Groen; George Kapetanios

Book ID: 117953048
Publisher: John Wiley and Sons
Year: 2012
Tongue: English
Weight: 541 KB
Volume: 75
Category: Article
ISSN: 0140-5543
DOI: 10.1111/j.1468-0084.2012.00721.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Bootstrapping factor-augmented regressio

Bootstrapping factor-augmented regression models

✍ Gonçalves, Sílvia; Perron, Benoit 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 530 KB

‘Model selection for generalized linear

‘Model selection for generalized linear models with factor-augmented predictors’

✍ Hansheng Wang; Chih-Ling Tsai 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 37 KB 👁 1 views

## Discussion 'Model selection for generalized linear models with factor-augmented predictors' Professors Ando and Tsay should be congratulated for such nice work, which provides an effective statistical method to handle high-dimensional data sets with generalized linear models. In this discussio

‘Model selection for generalized linear

‘Model selection for generalized linear models with factor-augmented predictors’

✍ T. Ando; R. S. Tsay 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 56 KB 👁 1 views

We would like to thank all the discussants for their wide-ranging discussions and constructive suggestions. They provide many useful references and directions for further research. We organize our reply in sections and hope that they can attract more discussions and encourage deeper research and dev

Model selection for generalized linear m

Model selection for generalized linear models with factor-augmented predictors

✍ Tomohiro Ando; Ruey S. Tsay 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 236 KB 👁 1 views

## Abstract This paper considers generalized linear models in a data‐rich environment in which a large number of potentially useful explanatory variables are available. In particular, it deals with the case that the sample size and the number of explanatory variables are of similar sizes. We adopt

‘Model selection for generalized linear

‘Model selection for generalized linear models with factor-augmented predictors’

✍ W. K. Li; Guodong Li 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 48 KB 👁 1 views

We congratulate the authors for contributing such an innovative paper in terms of both modeling methodology and subject matter significance. This paper enriches the application of generalized linear models in a data-rich environment. The principal component method was first applied to reduce the num

Model selection criteria for the leads-a

Model selection criteria for the leads-and-lags cointegrating regression

✍ In Choi; Eiji Kurozumi 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 321 KB