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econ.EM2025
High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions
Zhaoxing Gao, Sihan Tu, Ruey S. Tsay
This paper investigates estimation and inference of a Spatial Arbitrage Pricing Theory (SAPT) model that integrates spatial interactions with multi-factor analysis, accommodating b…
econ.EM2024
Optimal Bias-Correction and Valid Inference in High-Dimensional Ridge Regression: A Closed-Form Solution
Zhaoxing Gao, Ruey S. Tsay
Ridge regression is an indispensable tool in big data analysis. Yet its inherent bias poses a significant and longstanding challenge, compromising both statistical efficiency and s…
econ.EM2023
Determination of the effective cointegration rank in high-dimensional time-series predictive regressions
Puyi Fang, Zhaoxing Gao, Ruey S. Tsay
This paper proposes a new approach to identifying the effective cointegration rank in high-dimensional unit-root (HDUR) time series from a prediction perspective using reduced-rank…