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

DOI10.1016/J.JECONOM.2021.09.006MaRDI QIDQ2074601zbMATH OpenOpenAlexFDO

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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Cited in

(1)

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

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