Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence

DOI10.1016/J.JECONOM.2020.07.018MaRDI QIDQ2116326OpenAlexFDO

Authors Ying Fang, Qiuhua Xu, Zongwu Cai

Publication date 16 March 2022

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

Full work available at URL http://www2.ku.edu/~kuwpaper/2020Papers/202009.pdf

zbMATH Keywords

cross-sectional dependencenonparametric testlocal linear estimationfunctional coefficientsnonlinear panel data models

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

(2)

• Estimation of partially linear panel data models with cross-sectional dependence
• Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models

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