High dimensional regression coefficient test with high frequency data

High dimensional regression coefficient test with high frequency data

This paper presents the first study on high-dimensional regression coefficient tests with high-frequency financial data. These tests allow the number of regressors to be larger than the number of observations within each estimation block and can grow to infinity in asymptotics. In this paper, the su...

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Bibliographic Details
Main Authors: CHEN, Dachuan, FENG, Long, MYKLANG, Per A., ZHANG, Lan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
High dimensionality
Time-varying regression coefficient process
High frequency data
Hypothesis tests
Sum-type test
Max-type test
Asymptotic independence
Fisher's combination test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2757
https://ink.library.smu.edu.sg/context/soe_research/article/3756/viewcontent/High_Dimension_Regression_av.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2757
https://ink.library.smu.edu.sg/context/soe_research/article/3756/viewcontent/High_Dimension_Regression_av.pdf

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