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Principal component analysis in econometrics: a selective inference perspective

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  • Yasuyuki Matsumura
  • Chisato Tachibana

Abstract

We study the long-standing problem of determining the number of principal components in econometric applications from a selective inference perspective. We consider i.i.d. observations from a $p$-dimensional random vector with $p

Suggested Citation

  • Yasuyuki Matsumura & Chisato Tachibana, 2025. "Principal component analysis in econometrics: a selective inference perspective," Papers 2511.10419, arXiv.org, revised Dec 2025.
    • Handle: RePEc:arx:papers:2511.10419
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    References listed on IDEAS

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