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Factor-adjusted regularized model selection

Citations

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Cited by:

  1. Guo, Yanhong & Li, Ping & Li, Aihua, 2021. "Tail risk contagion between international financial markets during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 73(C).
  2. Tae-Hwy Lee & Saerom Lee, 2026. "Exploiting Heterogeneity in the Survey of Professional Forecasters," Working Papers 202602, University of California at Riverside, Department of Economics.
  3. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
  4. Tae-Hwy Lee & Daanish Padha, 2025. "Forecasting Using Supervised Factors and Idiosyncratic Elements," Working Papers 202502, University of California at Riverside, Department of Economics.
  5. Miao He & Yanhong Guo, 2022. "Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China," Sustainability, MDPI, vol. 14(9), pages 1-14, April.
  6. Heiss, Florian & Hetzenecker, Stephan & Osterhaus, Maximilian, 2022. "Nonparametric estimation of the random coefficients model: An elastic net approach," Journal of Econometrics, Elsevier, vol. 229(2), pages 299-321.
  7. Mogliani, Matteo & Simoni, Anna, 2021. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
  8. Lukoianove, Tatiana & Agarwal, James & Osiyevskyy, Oleksiy, 2022. "Modeling a country's political environment using dynamic factor analysis (DFA): A new methodology for IB research," Journal of World Business, Elsevier, vol. 57(5).
  9. Shan Feng & Wenxian Xie & Yufeng Nie, 2024. "Simultaneous Bayesian Clustering and Model Selection with Mixture of Robust Factor Analyzers," Mathematics, MDPI, vol. 12(7), pages 1-23, April.
  10. Liu, Jingyuan & Sun, Ao & Ke, Yuan, 2024. "A generalized knockoff procedure for FDR control in structural change detection," Journal of Econometrics, Elsevier, vol. 239(2).
  11. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2022. "Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(538), pages 574-590, April.
  12. Yongxia Zhang & Qi Wang & Maozai Tian, 2022. "Smoothed Quantile Regression with Factor-Augmented Regularized Variable Selection for High Correlated Data," Mathematics, MDPI, vol. 10(16), pages 1-30, August.
  13. Chudik, Alexander & Pesaran, M. Hashem & Sharifvaghefi, Mahrad, 2024. "Variable selection in high dimensional linear regressions with parameter instability," Journal of Econometrics, Elsevier, vol. 246(1).
  14. Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
  15. Collins, Alan & Fan, Jingwen & Mahabir, Aruneema, 2022. "Actual versus ‘natural’ rates of suicide: Evidence from the USA," Economic Modelling, Elsevier, vol. 106(C).
  16. George Tzagkarakis & Eleftheria Lydaki & Frantz Maurer, 2026. "Quantifying the Predictive Capacity of Dynamic Graph Measures on Systemic and Tail Risk," Computational Economics, Springer;Society for Computational Economics, vol. 67(1), pages 113-143, January.
  17. Tae-Hwy Lee & Tianyan Tu, 2026. "Tensor Portfolios," Working Papers 202601, University of California at Riverside, Department of Economics.
  18. Yasuyuki Matsumura & Chisato Tachibana, 2025. "Principal component analysis in econometrics: a selective inference perspective," Papers 2511.10419, arXiv.org, revised Dec 2025.
  19. Yucheng Yang & Yue Pang & Guanhua Huang & Weinan E, 2020. "The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data," Papers 2010.05172, arXiv.org.
  20. Liu, Yang & Swanson, Norman R., 2024. "An assessment of the marginal predictive content of economic uncertainty indexes and business conditions predictors," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1391-1409.
  21. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
  22. He, Yong & Li, Lingxiao & Liu, Dong & Zhou, Wen-Xin, 2025. "Huber Principal Component Analysis for large-dimensional factor models," Journal of Econometrics, Elsevier, vol. 249(PB).
  23. Sun, Chuanping, 2025. "A correlation-robust shrinkage estimator: Oracle inequality and an application on out-of-sample factor selection," Economics Letters, Elsevier, vol. 255(C).
  24. Yuan Liao & Xinjie Ma & Andreas Neuhierl & Zhentao Shi, 2023. "Benign Overfitting in Economic Forecasting via Noise Regularization," Papers 2312.05593, arXiv.org, revised Apr 2026.
  25. Donggyu Kim & Minseok Shin, 2024. "Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure," Working Papers 202418, University of California at Riverside, Department of Economics.
  26. Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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