arXiv 13 May 2025 · Econometrics · publishedJournal of Time Series Analysis (2025) · 2 citations (OpenAlex)
arXiv:2505.08615 · PDF · DOI · OpenAlex · Extracted main text
Information criteria (IC) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that IC perform well in Common Correlated Effects (CCE) and related setups in selecting a set of cross-section averages (CAs) sufficient for the factor space under stationary factors. As CAs can proxy non-stationary factors, it is tempting to claim such generality of IC, too. We show formally and in simulations that IC have a severe underselection issue even under very mild forms of factor non-stationarity, which goes against the sentiment in the literature.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bai, J. and Ng, S (2002) Determining the number of factors in approximate factor models | 1.000 | 7 | 4 | 100% |
| 2 | Bai, J (2004) Estimating cross-section common stochastic trends in nonstationary panel data | 0.956 | 16 | 5 | 88% |
| 3 | Westerlund, J (2018) Cce in panels with general unknown factors | 0.928 | 5 | 3 | 80% |
| 4 | Magdalinos, T. and Phillips, P. C (2009) Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors | 0.874 | 6 | 3 | 67% |
| 5 | Juodis, A (2022) A regularization approach to common correlated effects estimation | 0.843 | 5 | 4 | 60% |
| 6 | Stauskas, O (2023) Complete theory for cce under heterogeneous slopes and general unknown factors self | 0.737 | 4 | 3 | 50% |
| 7 | Karabiyik, H., Reese, S., and Westerlund, J (2017) On the role of the rank condition in CCE estimation of factor-augmented panel regressions | 0.737 | 3 | 3 | 67% |
| 8 | Pesaran, M (2006) Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure | 0.737 | 3 | 2 | 100% |
| 9 | Margaritella, L. and Westerlund, J (2023) Using information criteria to select averages in cce | 0.648 | 22 | 4 | 27% |
| 10 | De Vos, I. and Stauskas, O (2024) Cross-section bootstrap for cce regressions self | 0.550 | 18 | 3 | 17% |
Showing the top 10 of 28 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Robust Tests for Factor-Augmented Regressions with an Application to the Novel EA-MD-QD Dataset | 0.737 | 3 | 3 |
| 2 | Interactive, Grouped and Non-separable Fixed Effects: A Practitioner's Guide to the New Panel Data Econometrics | 0.405 | 1 | 1 |