Exponent of cross-sectional dependence for residuals

DOI10.1007/S13571-019-00196-9MaRDI QIDQ2297944zbMATH OpenOpenAlexFDO

Authors N. Bailey, George Kapetanios, M. Hashem Pesaran

Publication date 20 February 2020

Published in Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL https://www.cesifo.org/DocDL/cesifo1_wp7223.pdf

zbMATH Keywords

cross-sectional dependencepair-wise correlationsCAPM and Fama-French factorscross-sectional averagesweak and strong factor models

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 3624650 (Why is no real title available?)
• scientific article; zbMATH DE number 3021560 (Why is no real title available?)
• A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
• A bootstrap procedure for panel data sets with many cross-sectional units
• A multiple testing approach to the regularisation of large sample correlation matrices
• A well-conditioned estimator for large-dimensional covariance matrices
• Adaptive thresholding for sparse covariance matrix estimation
• Bootstrapping factor models with cross sectional dependence
• Covariance matrix selection and estimation via penalised normal likelihood
• Covariance regularization by thresholding
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Generalized thresholding of large covariance matrices
• High-dimensional covariance matrix estimation in approximate factor models
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Optimal rates of convergence for sparse covariance matrix estimation
• Vast volatility matrix estimation for high-frequency financial data
• Weak and strong cross-section dependence and estimation of large panels

Cited in

(4)

• Detection of units with pervasive effects in large panel data models
• A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
• P. C. Mahalanobis in the context of current econometrics research
• News-implied linkages and local dependency in the equity market

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