期刊
SANKHYA-SERIES B-APPLIED AND INTERDISCIPLINARY STATISTICS
卷 81, 期 SUPPL 1, 页码 46-102出版社
SPRINGER
DOI: 10.1007/s13571-019-00196-9
关键词
Pair-wise correlations; Cross-sectional dependence; Cross-sectional averages; Weak and strong factor models; CAPM and Fama-French factors
资金
- ESRC [ES/I031626/1]
- ESRC [ES/I031626/1] Funding Source: UKRI
In this paper, we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by a, which is based on the number of non-zero pair-wise cross correlations of these errors. We prove that our estimator, a, is consistent and derive the rate at which it approaches its true value. We also propose a resampling procedure for the construction of confidence bounds around the estimator of a. We evaluate the finite sample properties of the proposed estimator by use of a Monte Carlo simulation study. The numerical results are encouraging and supportive of the theoretical findings. Finally, we undertake an empirical investigation of a for the errors of the CAPM model and its Fama-French extensions using 10-year rolling samples from S&P 500 securities over the period Sept 1989 - May 2018.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据