Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance
Jian, L., Linton, O. B., Tang, H., Zhang, Y. (2023)
Keywords: Covariate-adaptive randomization, High-dimensional data, Local average treatment effects, Randomized experiment, Regression adjustment
JEL Codes: C14 C21 I21
Auditing the Auditors: An evaluation of the REF2021 Output Results
Linton, O. B., Xu, E. (2022)
Keywords: Journal quality, Ranking, Research funding
JEL Codes: A10
Do consumption-based asset pricing models explain the dynamics of stock market returns?
Ashby, M., Linton, O. B. (2022)
Keywords: consumption-based asset pricing models, martingale difference sequence, MIDAS, power spectrum, predictability, quantilogram, rescaled range, serial correlation, variance ratio
JEL Codes: C52 C58 G12
A Structural Dynamic Factor Model for Daily Global Stock Market Returns
Linton, O. B., Tang, H., Wu, J. (2022)
Keywords: Daily Global Stock Market Returns, Expectation Maximization Algorithm, Minimum Distance, Quasi Maximum Likelihood, Structural Dynamic Factor Model, Time-Zone Differences
JEL Codes: C55 C58 G15