- October 09, 2020
I describe my research goal as to develop novel econometric and machine learning methods to solve empirical problems of finance and economics.
The methods I proposed during my Ph.D. research aimed to solve two challenges, namely high dimension and the approximation of the unknown functions. For high-dimensional problems, we proposed a method called Specification-Lasso, which can achieve variable-selection and model-selection at the same time. We also extended the power enhanced test in a group manner to strengthen the power of the conventional Wald test when the number of coefficients is diverging. In terms...