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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10010295747

Panel Data with Errors-in-Variables: A Note on Essential and Redundant Orthogonality Conditions in GMM-estimation

Biørn, Erik; Klette, Tor Jakob - 1997

General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With...

Persistent link: https://www.econbiz.de/10011967962

Determining the number of groups in latent panel structures with an application to income and democracy

Lu, Xun; Su, Liangju - In: Quantitative Economics 8 (2017) 3, pp. 729-760

We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of groups. Our test is a residual-based Lagrange multiplier-type...

Persistent link: https://www.econbiz.de/10011995502

Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors

Stauskas, Ovidijus - 2021

A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...

Persistent link: https://www.econbiz.de/10013208900

Bootstrap Improved Inference for Factor-Augmented Regressions with CCE

De Vos, Ignace; Stauskas, Ovidijus - 2021

The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel models. Yet, it is often neglected that the pooled variant is biased unless the cross-section dimension (N) of the dataset dominates the time series length (T). This is problematic...

Persistent link: https://www.econbiz.de/10013208907

Characteristic-sorted portfolios: Estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011538018

Dynamic corporate capital structure behavior: empirical assessment in the light of heterogeneity and non stationarity

Bontempi, Maria Elena; Bottazzi, Laura; Golinelli, Roberto - 2015

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

Persistent link: https://www.econbiz.de/10011651879

Testing linear factor pricing models with large cross-sections: A distribution-free approach

Gungor, Sermin; Luger, Richard - 2010

-section is too large. Finally, we revisit the CAPM and the Fama-French three factor model. Our results strongly support the mean …

Persistent link: https://www.econbiz.de/10010279873

The measurement error problem in dynamic panel data analysis: Modeling and GMM estimation

Biørn, Erik - 2012

The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors is assumed. Two specializations of GMM are...

Persistent link: https://www.econbiz.de/10010330243

Identification and method of moments estimation in polynomial measurement error models

Biørn, Erik - 2017

Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...

Persistent link: https://www.econbiz.de/10011694188