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A new test on the conditional capital asset pricing model

Applied Mathematics(A Journal of Chinese Universities) 2015年第2期30卷 163-186页

作者： LI Xia-fei CAI Zong-wu REN Yu Wang Yanan Institute for Studies in Economics The MOE Key Lab of Econometrics and Fujian Key Lab of Statistical Sciences Xiamen University Department of Economics University of Kansas

testing the validity of the conditional capital asset pricing model （CAPM） is a puzzle in the finance literature. Lewellen and Nagel[14] find that the variation in betas and in the equity premium would have to be implausibly large to explain important asset-pricing anomalies. Unfortunately, they do not provide a rigorous test statistic. Based on a simulation study, the method proposed in Lewellen and Nagel[14] tends to reject the null too frequently. We develop a new test procedure and derive its limiting distribution under the null hypothesis. Also, we provide a bootstrap approach to the testing procedure to gain a good finite sample performance. Both simulations and empirical studies show that our test is necessary for making correct inferences with the conditional CAPM.

关键词： Asset pricing model bootstrap test conditional CAPM large sample theory

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Site and Regional Trend Analysis of Precipitation in Central Macedonia, Greece

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Computational Water, Energy, and Environmental Engineering 2021年第2期10卷 49-70页

作者： Athanasios K. Margaritidis Faculty of Agriculture Forestry and Natural Environment School of Agriculture Department of Hydraulics Soil Science & Agriculture Engineering Thessaloniki Greece

The purpose of this paper is to investigate the trend of precipitation in Kilkis region (Greece) at the site and regional level in various time scales. At the site level, the precipitation trend was analyzed using three tests: 1) Mann-Kendall, 2) Sen’s T and 3) Spearman while the trend slope was estimated using the Sen’s estimator. At a regional level, nonparametric spatial tests such as Regional Average Mann-Kendall (RAMK) and BECD’s (bootstrap Empirical Cumulative Distributions) were elaborated with and without the effect of cross correlation. The trend of precipitation was noticed generally downward at annual time scale and statistically significant at 5% level of significance only in only one station. The results of the analysis of t

关键词： Sen’s T test bootstrap test Precipitation Trend Analysis Greece

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