A wavelet method for panel models with jump discontinuities in the parameters

DOI10.1016/J.JECONOM.2021.09.006OpenAlexW3209592092MaRDI QIDQ2074601FDOQ2074601

Authors: Alois Kneip, T. Mensinger, Oualid Bada, Dominik Liebl, J. A. Gualtieri, Robin C. Sickles 

Publication date: 10 February 2022

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

Full work available at URL: https://arxiv.org/abs/2109.10950

zbMATH Keywords

panel datastructural changeadaptive LassoHaar waveletsalgorithmic tradingmarket efficiencypenalized IV

Mathematics Subject Classification ID

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

Cites Work

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• Inference on locally ordered breaks in multiple regressions

Cited In (1)

• A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters

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