Asymptotic F test in regressions with observations collected at high frequency over long span

DOI10.1016/j.jeconom.2022.10.007OpenAlexW3101557302MaRDI QIDQ6108300

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Publication date: 29 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.10.007

zbMATH Keywords

continuous time modelF distributionlong run variance estimationhigh-frequency regression

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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• HAC ESTIMATION BY AUTOMATED REGRESSION

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