Showing econ.EMShow all
2 papers · 1 filter
econ.EM2023
Identification and Estimation of Categorical Random Coefficient Models
Zhan Gao, M. Hashem Pesaran
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are i…
econ.EM2018
On LASSO for Predictive Regression
Ji Hyung Lee, Zhentao Shi, Zhan Gao
Explanatory variables in a predictive regression typically exhibit low signal strength and various degrees of persistence. Variable selection in such a context is of great importan…