Detecting unobserved heterogeneity in efficient prices via classifier-lasso
Year of publication: |
2023
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Authors: | Huang, Wenxin ; Su, Liangjun ; Zhuang, Yuan |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 2, p. 509-522
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Subject: | Classifier-Lasso | Efficient price | Informed trading | Panel error-correction model | Unobserved heterogeneity |
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