pith. sign in

96 We now turn to showing (3.5)

Thus we have lim min{N,T }→∞ NY i=1 P ∗ ωi ≤ aN x + bN − ψi,N T = lim N →∞ ΦN (aN x + bN) × lim min{N,T }→∞ exp NX i=1 log Φ aN x + bN − ψi,T Φ (aN x + bN) !! = exp ( − exp (−x)) , using the relations in (D · 1979

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A general randomized test for Alpha

econ.EM · 2025-07-23 · unverdicted · novelty 7.0

A new randomized test for joint zero alpha in linear factor asset pricing models that avoids covariance matrix estimation and handles large N and T with heteroskedasticity and cross-sectional dependence.

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  • A general randomized test for Alpha econ.EM · 2025-07-23 · unverdicted · none · ref 13

    A new randomized test for joint zero alpha in linear factor asset pricing models that avoids covariance matrix estimation and handles large N and T with heteroskedasticity and cross-sectional dependence.