Factor regression model


The factor regression model, or hybrid factor model, is a special multivariate model with the following form:
where,

Relationship between factor regression model, factor model and regression model

The factor regression model can be viewed as a combination of factor analysis model and regression model.
Alternatively, the model can be viewed as a special kind of factor model, the hybrid factor model
where, is the loading matrix of the hybrid factor model and are the factors, including the known factors and unknown factors.

Software