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Testing CAPM with a Large Number of Assets (Updated 28th March 2012)

Pesaran, M. H.; Yamagata, T. - Faculty of Economics, University of Cambridge - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, <em>N</em>, is large relative to the time dimension, <em>T</em>, of the return series. Two new tests of CAPM are proposed that exploit...

Persistent link: https://www.econbiz.de/10009651254

Unit Roots and Cointegration in Panels

Breitung, J.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2005

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...

Persistent link: https://www.econbiz.de/10005783752

Panel Unit Root Tests in the Presence of a Multifactor Error Structure.

Pesaran, M.H.; Smit, L.V.; Yamagata, T. - Faculty of Economics, University of Cambridge - 2007

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

Persistent link: https://www.econbiz.de/10005783812

On The Panel Unit Root Tests Using Nonlinear Instrumental Variables

Im, K.S.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2003

This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of the t-statistics when integrable functions of lagged dependent variable are used as instruments even if the original series are cross sectionally dependent. She claims that her...

Persistent link: https://www.econbiz.de/10005113752

A Simple Panel Unit Root Test in the Presence of Cross Section Dependence

Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2003

A number of panel unit root tests that allow for cross section dependence have been proposed in the literature, notably by Bai and Ng (2002), Moon and Perron (2003) and Phillips and Sul (2002) who use orthogonalization type procedures to asymptotically eliminate the cross dependence of the...

Persistent link: https://www.econbiz.de/10005113890

Testing Dependence Among Serially Correlated Multi-category Variables

Pesaran, M.H.; Timmermann, A. - Faculty of Economics, University of Cambridge - 2006

The contingency table literature on tests for dependence among discrete multi-category variables assume that draws are independent, and there are no tests that account for serial dependencies ? a problem that is particularly important in economics and finance. This paper proposes a new test of...

Persistent link: https://www.econbiz.de/10005113812

A Simple Test for the Absence of Covariate Dependence in Duration Models

Bhattacharjee, A. - Faculty of Economics, University of Cambridge - 2004

This paper describes a simple extension of popular tests of equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the null hypothesis that the hazard does not depend on the value of the covariate against...

Persistent link: https://www.econbiz.de/10005647503

Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests

Kapetanios, G.; Weeks, M. - Faculty of Economics, University of Cambridge - 2003

arguments, an alternative procedure is to utilise bootstrap procedures to construct the empirical density. To our knowledge this … study represents the first comparison of the properties of bootstrap and simulation-based tests applied to non-nested tests … the relative evaluation of simulation and bootstrap-based nonnested procedures in testing across a class of nonlinear …

Persistent link: https://www.econbiz.de/10005783842

Generalised Mean-Variance Analysis and Robust Portfolio Diversification

Wright, S.M.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2002

This paper presents a new approach to portfolio optimisation that we call generalised mean-variance (GMV) analysis. One important case of this approach is based on the stocks m-tile (or quantile): if m = n, where n is the number of stocks, m-tile membership becomes rank. Our analysis is the rank...

Persistent link: https://www.econbiz.de/10005113815

Model Selection in Threshold Models

Kapetanios, G. - Faculty of Economics, University of Cambridge - 1999

This paper considers information criteria as model evaluation tools for nonlinear threshold models. Results concerning the consistency of information criteria in selecting the lag order of linear autoregressive models are extended to nonlinear autoregressive threshold models. Extensive Monte...

Persistent link: https://www.econbiz.de/10005647350