Asymptotic inference for Hasbrouck information shares
推导了Hasbrouck信息份额的渐近分布，提供大样本近似进行标准假设检验，并针对边界假设提出特定检验，同时给出广义Wald检验用于份额相等性检验。
We derive the asymptotic distribution of Hasbrouck information shares and provide a large sample approximation to conduct standard hypothesis tests. The finite sample properties are studied with simulation experiments. While the resulting tests are properly sized and have sufficient power against the null, the size properties are distorted if the null hypothesis is located at the bounds. We therefore suggest a specific test for the “one central market” hypothesis. Additionally, we provide a generalized Wald test to test for equality of shares.