Title:

Variable Selection in the Presence of Factors: A Model Selection Perspective

Authors:

Gonzalo Garcia-Donato (U Castilla-La Mancha)
Rui Paulo (U Lisboa)

Journal:

Journal of the American Statistical Association

Year:

2022

Volume:

117

Number:

540

Pages:

1847-1857

JEL code:

C52 - Model Evaluation and Selection