金工论坛第五讲

金工论坛第五讲

报告题目(Title): Unobserved Heterogeneity in Panel Error-correction model, with an Application to Informed Trading

时间：2018年11月29日周四，12:20-13:20

地点：对外经济贸易大学博学楼925

主讲人(Speaker): Wenxin Huang

个人介绍Biography：黄雯馨，毕业于新加坡管理大学，经济学博士。主要研究领域：非平稳面板数据的理论和应用。现就职于安泰经济与管理学院经济系。

摘要（Abstract）：

This paper proposes a novel econometric model that accounts for both long-run and short-run co-movements in panel error-correction models. By imposing latent group structures, we achieve efficient estimation for long-run cointegration vectors in the presence of unobserved heterogeneity. The short-run co-movements are driven by unobserved dynamic common factors, which can be consistently estimated by principal components. We propose a penalized generalized least squares method that jointly estimates long-run cointegration vectors and infers unobserved group structures. We establish asymptotic properties for two Lasso-type estimators. In the empirical application, we estimate long-run cointegration relationships between the bid and ask quotes in the stock market. We introduce a new measure for the efficient price, which is a weighted average of the bid and ask quotes.