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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808264

A nonlinear panel model of cross-sectional dependence

Kapetanios, George; Mitchell, James; Shin, Yongcheol - 2010

This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural … approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can … study and two empirical illustrations. -- Cross-sectional dependence ; Nonlinearity ; Factor models ; Panel models ; Fixed …

Persistent link: https://www.econbiz.de/10008728710

Uncovering regimes in out of sample forecast errors from predictive regressions

Silva Neto, Aníbal Emiliano da; Gonzalo, Jesús; … - 2020

Persistent link: https://www.econbiz.de/10012501495

Out of sample predictability in predictive regressions with many predictor candidates

Gonzalo, Jesús; Pitarakis, Jean-Yves - 2020

Persistent link: https://www.econbiz.de/10012501524

Sample separation and the sensitivity of investment to cash flow : is the monotonicity condition empirically satisfied?

Iona, Alfonsina; Leonida, Leone - 2018

This paper studies whether the monotonicity condition of the investment-cash flow sensitivity is satisfied empirically. We show that if this condition holds, then the point of sample separation does not affect the monotonic relationship between the sensitivities of any two complementary classes...

Persistent link: https://www.econbiz.de/10011872436