Power enhancement in high-dimensional cross-sectional tests
by Jianqing Fan, Yuan Liao and Jiawei Yao
| Year of publication: |
2015
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|---|---|
| Authors: | Fan, Jianqing ; Liao, Yuan ; Yao, Jiawei |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 83.2015, 4, p. 1497-1541
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| Subject: | Sparse alternatives | thresholding | large covariance matrix estimation | Wald test | screening | cross-sectional dependence | factor pricing model | Korrelation | Correlation | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | CAPM | Querschnittsanalyse | Cross-section analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011405086