Model selection for generalized linear models with factor-augmented predictors

Tomohiro Ando, Ruey S. Tsay

研究成果: Article査読

3 被引用数 (Scopus)

抄録

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 the idea that the relevant information of explanatory variables concerning the dependent variable can be represented by a small number of common factors and investigate the issue of selecting the number of common factors while taking into account the effect of estimated regressors. We develop an information criterion under model mis-specification for both the distributional and structural assumptions and show that the proposed criterion is a natural extension of the Akaike information criterion (AIC). Simulations and empirical data analysis demonstrate that the proposed new criterion outperforms the AIC and Bayesian information criterion.

本文言語English
ページ(範囲)207-235
ページ数29
ジャーナルApplied Stochastic Models in Business and Industry
25
3
DOI
出版ステータスPublished - 2009
外部発表はい

ASJC Scopus subject areas

  • モデリングとシミュレーション
  • ビジネス、管理および会計一般
  • 経営科学およびオペレーションズ リサーチ

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