Asymptotic F test in regressions with observations collected at high frequency over long span
Year of publication: |
2023
|
---|---|
Authors: | Pellatt, Daniel F. ; Sun, Yixiao |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 1281-1309
|
Subject: | Continuous time model | F distribution | High-frequency regression | Long run variance estimation | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | Volatilität | Volatility |
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