This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of … securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of … proposed test performs remarkably well even when T = 60 and N = 5;000. The test is applied to monthly returns on securities in …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of … test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases …

received much attention in the econometrics literature. We study test performance in the context of specification testing for … all subsidiary null hypotheses outperform the well-known minimum P-value test and a recently proposed test that relies on … the non-parametric estimation of the joint density of all subsidiary test statistics. …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of … test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases …

of the common shock. Using new statistics to test for the homogeneity of idiosyncratic errors under the joint limits with …

This paper explores the properties of pre-test strategies in estimating a linear Cliff-Ord-type spatial model when the … properties of the pre-test estimators introduced in Florax et al. (2003), which are based on Lagrange Multiplier (LM) tests … likelihood (ML) estimator of the encompassing model. We find that, even in a very simple setting, the bias of the estimates …

parameter of the power law. A new extremum estimator for the degree of pervasiveness of individual units in the network is … estimator is shown to have satisfactory small sample properties. Empirical applications to US input-output tables suggest the …