High dimensional regression coefficient test with high frequency data

• 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
• Institution: Singapore Management University

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...