no code implementations • 18 Sep 2023 • Tae-Hwy Lee, Tao Wang
We in this paper utilize P-GMM (Cheng and Liao, 2015) moment selection procedure to select valid and relevant moments for estimating and testing forecast rationality under the flexible loss proposed by Elliott et al. (2005).
no code implementations • 4 Sep 2022 • Tae-Hwy Lee, Ekaterina Seregina
We visualize forecast errors from different forecasters as a network of interacting entities and generalize network inference in the presence of common factor structure and structural breaks.
no code implementations • 17 Jan 2022 • Saman Banafti, Tae-Hwy Lee
The Granular Instrumental Variables (GIV) methodology exploits panels with factor error structures to construct instruments to estimate structural time series models with endogeneity even after controlling for latent factors.
no code implementations • 4 Nov 2020 • Tae-Hwy Lee, Ekaterina Seregina
Forecasters often use common information and hence make common mistakes.
no code implementations • 1 Nov 2020 • Tae-Hwy Lee, Ekaterina Seregina
Graphical models are a powerful tool to estimate a high-dimensional inverse covariance (precision) matrix, which has been applied for a portfolio allocation problem.