A wavelet method for panel models with jump discontinuities in the parameters
O. Bada, A. Kneip, D. Liebl, T. Mensinger, J. Gualtieri, R.C. Sickles
| Year of publication: |
2022
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|---|---|
| Authors: | Bada, Oualid ; Kneip, Alois ; Liebl, Dominik ; Mensinger, Tim ; Gualtieri, J. ; Sickles, Robin C. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 226.2022, 2, p. 399-422
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| Subject: | Haar wavelets | Adaptive lasso | Panel data | Structural change | Penalized IV | Algorithmic trading | Market efficiency | Panel | Panel study | Zustandsraummodell | State space model | Effizienzmarkthypothese | Efficient market hypothesis | Elektronisches Handelssystem | Electronic trading | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013461818