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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of … long/short equity strategies (relative to the return on S&P 500) over the period November 1994 to June 2015, suggesting …
Persistent link: https://www.econbiz.de/10011657153
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Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structur e
Norkuté, Milda; Sarafidis, Vasilis; Yamagata, Takashi - 2018
This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with a multifactor error structure when both N and T, the cross-sectional and time series dimensions respectively, are large. Our approach projects out the common factors from...
Persistent link: https://www.econbiz.de/10012013631
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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
In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope 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...
Persistent link: https://www.econbiz.de/10012013648
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of … long/short equity strategies (relative to the return on S&P 500) over the period November 1994 to June 2015, suggesting …
Persistent link: https://www.econbiz.de/10012013667
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Pairwise tests of purchasing power parity using aggregate and disaggregate price measures
Pesaran, Mohammad Hashem; Smith, Ron P.; Yamagata, Takashi - 2006
In this paper we adopt a new approach to testing for purchasing power parity, PPP, that is robust to base country effects, cross-section dependence, and aggregation. Given data on N +1 countries, i, j = 0, 1, 2, ..., N, the standard procedure is to apply unit root or stationarity tests to N...
Persistent link: https://www.econbiz.de/10010276196
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A spatio-temporal model of house prices in the US
Holly, Sean; Pesaran, Mohammad Hashem; Yamagata, Takashi - 2006
The purpose of this paper is to apply recent advances in the econometrics of panel data to a problem that has a clear spatial dimension. We model the dynamic adjustment of real house prices using data at the level of US States. In the last decade, in most OECD countries there has been a...
Persistent link: https://www.econbiz.de/10010276201
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, Mohammad Hashem; Smith, L. Vanessa; Yamagata, … - 2008
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/10010276216
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Spatial and temporal diffusion of house prices in the UK
Holly, Sean; Pesaran, Mohammad Hashem; Yamagata, Takashi - 2010
This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....
Persistent link: https://www.econbiz.de/10010276232
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Spatial and temporal diffusion of house prices in the UK
Holly, Sean; Pesaran, Mohammad Hashem; Yamagata, Takashi - 2010
This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....
Persistent link: https://www.econbiz.de/10010276266
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Testing CAPM with a large number of assets
Pesaran, Hashem; Yamagata, Takashi - 2012
Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return … months of return data at the end of each month over the period September 1989-September 2011. Statistically significant … relative to the return on S&P 500 over the period December 2006 to September 2011, suggesting that abnormal profits are earned …
Persistent link: https://www.econbiz.de/10010282392