High-dimensional time series often exhibit hierarchical structures represented by tensors, while statistical methodologies that can effectively exploit the structural information remain limited. We propose a supervised factor modeling framework that accommodates general hierarchical structures by extracting low-dimensional features sequentially in the mode orders that respect the hierarchical structure. Our method can select a small collection of such orders to allow for impurities in the hierarchical structures, yielding interpretable loading matrices that preserve the hierarchical relationships. A practical estimation procedure is proposed, with a hyperparameter selection scheme that identifies a parsimonious set of action orders and interim ranks, thereby revealing the possibly latent hierarchical structures. Theoretically, non-asymptotic error bounds are derived for the proposed estimators in both regression and autoregressive settings. An application to the IPIP-NEO-120 personality panel illustrates superior forecasting performance and clearer structural interpretation compared with existing methods based on tensor decompositions and hierarchical factor analysis.

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