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stat.ME2023
Fisher's combined probability test for cross-sectional independence in panel data models with serial correlation
Hongfei Wang, Binghui Liu, Long Feng +1
Testing cross-sectional independence in panel data models is of fundamental importance in econometric analysis with high-dimensional panels. Recently, econometricians began to turn…
stat.ME2023
Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets
Huifang MA, Long Feng, Zhaojun Wang
This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the…