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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書目詳細資料
Main Authors:	CHEN, Dachuan, FENG, Long, MYKLANG, Per A., ZHANG, Lan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2024
主題:	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
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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