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Evaluating factor pricing models using high-frequency panels
Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933
This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011800879
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A New Poolability Test for Cointegrated Panels
Westerlund, Joakim - 2013
This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are …
Persistent link: https://www.econbiz.de/10013075469
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Estimation of large dimensional conditional factor models in finance
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019
of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework …
Persistent link: https://www.econbiz.de/10012101166
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A control function approach to estimating dynamic probit models with endogenous regressors, with an application to the study of poverty persistence in China
Giles, John; Murtazashvili, Irina - 2012
This paper proposes a parametric approach to estimating a dynamic binary response panel data model that allows for …
Persistent link: https://www.econbiz.de/10009629773
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Asymmetric Capital Structure Adjustments : New Evidence from Dynamic Panel Threshold Models
Dang, Viet Anh - 2012
We develop a dynamic panel threshold model of capital structure to test the dynamic trade-off theory, allowing for …
Persistent link: https://www.econbiz.de/10013116879
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012946881
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Quasi ML Estimation of the Panel AR(1) Model with Additional Regressors
Kruiniger, Hugo - 2019
Quasi ML estimators (MLEs) for panel AR(1) models with additional regressors. We also consider related GMM estimators. All … heteroskedasticity and are extensions and generalizations of the models considered in Kruiniger (2013. Quasi ML estimation of the panel …
Persistent link: https://www.econbiz.de/10012903818
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A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects
Hayakawa, Kazuhiko; Nagata, Shuichi; Yamagata, Takashi - 2018
heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely … used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …
Persistent link: https://www.econbiz.de/10011879510
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A bias-corrected method of moments approach to estimation of dynamic Short-T panels
Chudik, Alexander; Pesaran, M. Hashem - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10011735967
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Minimum Distance Testing and Top Income Shares in Korea
Cho, Jin Seo - 2015
We study Kolmogorov-Smirnov goodness of fit tests for evaluating distributional hypotheses where unknown parameters need to be fitted. Following work of Pollard (1979), our approach uses a Cramér-von Mises minimum distance estimator for parameter estimation. The asymptotic null distribution of...
Persistent link: https://www.econbiz.de/10013020465