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  • Search: subject:"Factor model selection"
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Year of publication
Subject
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Factor model selection 4 CCE estimation 3 Estimation 3 Estimation theory 3 Factor analysis 3 Faktorenanalyse 3 Interactive effects models 3 Schätztheorie 3 Schätzung 3 Asset pricing model fit 1 Bayes-Statistik 1 Bayesian factor inclusion 1 Bayesian inference 1 CAPM 1 Capital income 1 Capital market returns 1 Capital market theory 1 Kapitaleinkommen 1 Kapitalmarktrendite 1 Kapitalmarkttheorie 1 Mispricing 1 Portfolio selection 1 Portfolio-Management 1 Sharpe ratio tests 1 Stock returns 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 4
Author
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Brown, Nicholas 3 Westerlund, Joakim 3 Qiu, Wanling 1
Published in...
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Economics letters 1 Finance research letters 1 Queen's Economics Department working paper 1 Queen’s Economics Department Working Paper 1
Source
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ECONIS (ZBW) 3 EconStor 1
Showing 1 - 4 of 4
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Testing factors in CCE
Brown, Nicholas; Westerlund, Joakim - In: Economics letters 230 (2023), pp. 1-3
Persistent link: https://www.econbiz.de/10014460359
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Testing factors in CCE
Brown, Nicholas; Westerlund, Joakim - 2022
One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables as proxies of the unobserved factors. The present paper proposes a simple test that is suitable for testing...
Persistent link: https://www.econbiz.de/10014451096
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Mispricing, returns and the quest for parsimony
Qiu, Wanling - In: Finance research letters 37 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012484942
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Cover Image
Testing factors in CCE
Brown, Nicholas; Westerlund, Joakim - 2022
One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables as proxies of the unobserved factors. The present paper proposes a simple test that is suitable for testing...
Persistent link: https://www.econbiz.de/10013461522
Saved in:
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