Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
DOI10.1016/J.JECONOM.2020.07.018OpenAlexW3020860521MaRDI QIDQ2116326FDOQ2116326
Qiuhua Xu, Zongwu Cai, Ying Fang
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
cross-sectional dependencenonparametric testlocal linear estimationfunctional coefficientsnonlinear panel data models
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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