Quantile regression models with factor‐augmented predictors and information criterion
因子增强预测变量的分位数回归模型与信息准则
For situations with a large number of series, N, each with T observations and each containing a certain amount of information for prediction of the variable of interest, we propose a new statistical modelling methodology that first estimates the common factors from a panel of data using principal component analysis and then employs the estimated factors in a standard quantile regression. A crucial step in the model‐building process is the selection of a good model among many…