A wavelet method for panel models with jump discontinuities in the parameters

DOI10.1016/j.jeconom.2021.09.006OpenAlexW3209592092MaRDI QIDQ2074601

T. Mensinger, Alois Kneip, Oualid Bada, Robin C. Sickles, Dominik Liebl, J. A. Gualtieri

Publication date: 10 February 2022

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

Full work available at URL: https://arxiv.org/abs/2109.10950

zbMATH Keywords

panel dataHaar waveletsstructural changemarket efficiencyadaptive Lassoalgorithmic tradingpenalized IV

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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