High dimensional regression coefficient test with high frequency data

DOI10.1016/J.JECONOM.2024.105812MaRDI QIDQ6854613zbMATH OpenFDO

Authors Dachuan Chen, Long Feng, Per Aslak Mykland, Lan Zhang

Publication date 24 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

high dimensionalityasymptotic independencehigh frequency datahypothesis testsFisher's combination testmax-type testsum-type testtime-varying regression coefficient process

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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