Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso
From MaRDI portal
Cites work
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- Asymptotics for linear processes
- Determining the Number of Factors in Approximate Factor Models
- Discretizing unobserved heterogeneity
- Estimating latent group structure in time-varying coefficient panel data models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Grouped patterns of heterogeneity in panel data
- Identifying latent group structures in nonlinear panels
- Identifying latent grouped patterns in cointegrated panels
- Identifying latent grouped patterns in panel data models with interactive fixed effects
- Identifying latent structures in panel data
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
- Multiscale clustering of nonparametric regression curves
- Nonstationary panel models with latent group structures and cross-section dependence
- Optimal Inference in Cointegrated Systems
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
- Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
This page was built for publication: Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6149863)
