Principal component analysis in econometrics: a selective inference perspective

Yasuyuki Matsumura and Chisato Tachibana

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Abstract: We study the long-standing problem of determining the number of principal components in econometric applications from a selective inference perspective. We consider i.i.d. observations from a $p$-dimensional random vector with $p

Date: 2025-11, Revised 2025-12
New Economics Papers: this item is included in nep-ets
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