Econometrics Research Seminar Series, Autumn Term 2020
16:00 - 17:30
Dr Mingli Chen
Lectures, talks and seminars
Econometrics Research Seminar Series
Economics, Department of
Join Dr Mingli Chen as they present their research on New Ideas In Econometrics.
Dr Mingli Chen from the Department of Economics, at the University of Warwick will present their research on High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing.
We propose a generalization of the linear panel quantile regression model to accommodate both sparse and dense parts: sparse means while the number of covariates available is large, potentially only a much smaller number of them have a nonzero impact on each conditional quantile of the response variable; while the dense part is represented by a low-rank matrix that can be approximated by latent factors and their loadings. Such a structure poses problems for traditional sparse estimators, such as the l1-penalised Quantile Regression, and for traditional latent factor estimator, such as PCA. We propose a new estimation procedure, based on the ADMM algorithm, that consists of combining the quantile loss function with l1 and nuclear norm regularization. We show, under general conditions, that our estimator can consistently estimate both the nonzero coefficients of the covariates and the latent low-rank matrix.
Our proposed model has a “Characteristics + Latent Factors” Asset Pricing Model interpretation: we apply our model and estimator with a large-dimensional panel of financial data and find that (i) characteristics have sparser predictive power once latent factors were controlled (ii) the factors and coefficients at upper and lower quantiles are different from the median.
This seminar will be held via Zoom. This event is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.
This event is part of the Econometrics Research Seminar Series.