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~institution:"Economics Department, Queen's University"
~subject:"local-to-unity"
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local-to-unity
Covariance matrix estimation
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Factor models
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Finite sample properties
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Hansen-Jagannathan distance
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Heteroskedasticity Consistent Covariance Matrix Estimators
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Shrinkage method
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Size distortion
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covariance estimation
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market efficiency
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Covariance
-based orthogonality tests for regressors with unknown persistence
Maynard, Alex
;
Shimotsu, Katsumi
-
Economics Department, Queen's University
-
2007
This paper develops a new test of orthogonality based on a zero restriction on the
covariance
between the dependent …
Persistent link: https://www.econbiz.de/10005688521
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