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3 results

  • 3 - Factor-Augmented Regressions and Their Applications to Financial Markets: A Selective Review

  • from Part I - Trend Determination, Asset Price Bubbles, and Factor-Augmented Regressions
  • Edited by Shuping Shi, Macquarie University, Sydney, Xiaohu Wang, Fudan University, Shanghai, Tao Zeng, Zhejiang University, China
  • Book:
    Financial Econometrics
    Published online:
    20 February 2025
    Print publication:
    27 February 2025, pp 60-94

  • Summary

    This chapter provides a selective review of the factor-augmented regression (FAR) models, where the factors are usually estimated from a large set of observed data, and then as “generated regressors” enter into the next stage of regression. It begins with an introduction to the large-dimensional factor models and the widely used principal component analysis (PCA) estimator. Then we review FAR models with time series data, the extensions of FAR to some nonlinear models, and the factor-augmented panel regressions. Lastly, we briefly introduce some applications of FAR to financial markets.

  • 13 - Variable Coefficients Models

  • Cheng Hsiao, University of Southern California
  • Book:
    Analysis of Panel Data
    Published online:
    19 May 2022
    Print publication:
    07 July 2022, pp 389-439

  • Summary

    The motivation for generalizing unobserved heterogeneity of varying parameter models is discussed. Various fixed or random varying parameters across cross-sectional units and over time models together with their respective inference procedures are introduced from both the sampling approach and the Bayesian approach. Issues of correlations between parameter variation and regressors are also discussed.