Matrix-Factor-Augmented Regression
矩阵因子增强回归
As matrix-variate observations are increasingly available, to incorporate the interplay between the multi-cross-sections, we introduce a matrix-factor-augmented regression model (M-FARM) that proposes to predict ahead of time with factors of matrix predictors augmented in the regression. We show that the estimation error in the factor matrices, estimated by the projection procedure in the first step, enters into the estimation error of the regression parameters and the…