Testing against constant factor loading matrix with large panel high-frequency data

Xinbing Kong

doi:10.1016/j.jeconom.2018.03.001

Return

Testing against constant factor loading matrix with large panel high-frequency data

2018-06-01

PRE

Xinbing Kong

Cheng Liu *

DOI：10.1016/j.jeconom.2018.03.001

Original

Original request for help

Save

Abstract

En 中文

In this paper, we introduce a nonparametric test against the constancy of the factor loading matrix of a high-dimensional continuous-time factor model using high-frequency data. The central limit theorems on the test statistics with and without perturbation are established under the null hypothesis that the factor loading matrix is constant as time evolves. The tests perform well in size and power. Interestingly, the test statistic without perturbation converges at a rate that depends not only on the sample size but also on the dimension through the cross-sectional dependence of the residual process, which is a distinctive feature that contrasts with the low-dimensional setting. Extensive numerical studies, including Monte Carlo simulations and real data analysis, validate the performance of our test. (C) 2018 Elsevier B.V. All rights reserved.

Keywords:

FACTOR MODELS

EQUITY PRICES

ITO PROCESSES

VOLATILITY

NUMBER

AI Summary

Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.