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2012 年三月份WETA 研討會


2012 年三月份WETA 研討會


WETA@TES March 2012 - 30 March 2012, Kuan Te Lecture Hall, Bldg. 1, College of Management

【2012 年三月份WETA 研討會】
日期:2012 年 3 月30 日 (五) 下午2:00~5:00
地點:臺灣大學管理學院一號館 2F 冠德講堂
講者:陳釗而教授 國立臺灣大學經濟學系
I. High-Dimensional Factor Analysis
II. Panel Data Models: Interactive Effects and Factor Instrumental Variables Are Options Mis-Priced? - Analysis of Option Return Premia

The first part of the lecture begins with discussing classical factor analysis, in which the statistical theory is developed under a fixed N. We then go on to discuss high-dimensional factor analysis (modern factor analysis) where the number of variables (N) is comparable or even greater than the number of observations (T). Issues related to identification and estimation are discussed. In particular, the maximum-likelihood-based and principal components-based procedures for estimating factor models are investigated. We will also present, if time permitted, a few applications of factor models in economics and finance.
The second part of the lecture mainly focuses on panel data models with factor errors. Specifically we first present the panel data models with interactive fixed effects developed by Bai (2009,Econometrica). For ongoing research, we introduce a novel use of factor analysis controlling for endogeneity within the Panel Instrumental Variable Quantile Regression framework.




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