Power Enhancement in High-Dimensional Cross-Sectional Tests
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Publication:4614296
DOI10.3982/ECTA12749zbMath1410.62201arXiv1310.3899OpenAlexW2123735241WikidataQ36466658 ScholiaQ36466658MaRDI QIDQ4614296
Yuan Liao, Jiawei Yao, Jianqing Fan
Publication date: 30 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.3899
Wald testthresholdingscreeningcross-sectional dependencesparse alternativesfactor pricing modellarge covariance matrix estimation
Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)
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