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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
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| Subjects: | |
| 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 |