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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
Beaulieu, Marie-Claude - 2016
Persistent link: https://www.econbiz.de/10012991257
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Tests for Parameter Instability in Dynamic Factor Models
Han, Xu - 2014
We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used....
Persistent link: https://www.econbiz.de/10013063182
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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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Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2013
This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …
Persistent link: https://www.econbiz.de/10010187855
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Real convergence using TAR panel unit root tests : an application to the Southern African Development Community
Tipoy, Christian K. - In: Spoudai : journal of economics and business 69 (2019) 1/2, pp. 45-61
to 2017. An approach that combines threshold modelling, panel data unit root testing and critical values bootstrapping is …
Persistent link: https://www.econbiz.de/10012063030
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Growth and structural changes in transition countries : the chicken or the egg?
Olczyk, Magdalena; Kordalska, Aleksandra - 2018
panel Granger causality analysis based on annual data for 8 transition countries, covering the period 1995-2011. The main …
Persistent link: https://www.econbiz.de/10011844751
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Determining the number of groups in latent panel structures with an application to income and democracy
Lu, Xun; Su, Liangjun - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 729-760
We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of …
Persistent link: https://www.econbiz.de/10011801632
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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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Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023
This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...
Persistent link: https://www.econbiz.de/10014357208