arxivecon.EMmath.STstat.MEstat.ML2026-07-07
Factor-Augmented Machine Learning Panel Regressions
Andrii Babii, Luca Barbaglia, Eric Ghysels, Jonas Striaukas
This paper develops the asymptotic theory for high-dimensional panel data regressions in settings with cross-sectionally dependent errors driven by common shocks. We consider a factor-augmented sparse-group LASSO estimator that combines MIDAS aggregation with latent factors. The…