Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso

DOI10.1080/07350015.2022.2036613OpenAlexW4210472706MaRDI QIDQ6149863

Yuan Zhuang, Liangjun Su, Wenxin Huang

Publication date: 5 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Detecting_Unobserved_Heterogeneity_in_Efficient_Prices_via_Classifier-Lasso_/19102904

zbMATH Keywords

unobserved heterogeneityinformed tradingefficient priceClassifier-Lassopanel error-correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Determining the Number of Factors in Approximate Factor Models
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
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