Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence-Reference-Cited by-同舟云学术

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Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence

Published:2022-03 Issue:1 Volume:227 Page:114-133
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Cai Zongwu,Fang Ying,Xu Qiuhua

Funder

National Natural Science Foundation of China

NSFC

Basic Science Center Program of NSFC

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference41 articles.

1. Testing conditional factor models;Ang;J. Financ. Econom.,2012

2. Panel data models with interactive fixed effects;Bai;Econometrica,2009

3. Semiparametric estimation of partially varying-coefficient dynamic panel data models;Cai;Econometric Rev.,2015

4. A semiparametric quantile panel data model with an application to estimating the growth effect of FDI;Cai;J. Econometrics,2018

5. Functional-coefficient regression models for nonlinear time series;Cai;J. Amer. Statist. Assoc.,2000

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