Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets
高维资产条件因子模型中 alpha 的自适应检验
This article focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that performs well in scenarios where the alternative hypothesis is sparse. We establish the limit null distribution of the proposed maximum-type test statistic and demonstrate its asymptotic independence from the sum-type test statistics…