Testing Alpha in High-Dimensional Conditional Time-Varying Factor Models with Dependent Observations
依赖观测下高维条件时变因子模型的 Alpha 检验
This paper studies alpha testing in a high-dimensional conditional time-varying factor model with temporally dependent observations. Both factor loadings and alpha processes are allowed to vary smoothly over time, and the cross-sectional dimension may be comparable to or larger than the sample size. Using a B-spline sieve method, we develop a sum-type test for dense alternatives, a max-type test for sparse alternatives, and a Cauchy combination test for adaptive inference.…