Unexplained factors and their effects on second pass \(R\)-squared's

DOI10.1016/J.JECONOM.2014.11.006zbMath1337.91147OpenAlexW1602537402MaRDI QIDQ496150

Zhaoguo Zhan, Frank Kleibergen

Publication date: 18 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.11.006

zbMATH Keywords

principal componentsweak identification(non-standard) large sample distributionfactor pricingFama-MacBeth two pass procedurestochastic discount factors

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (8)

Identification and inference in two-pass asset pricing models ⋮ Factor models with many assets: strong factors, weak factors, and the two-pass procedure ⋮ Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds ⋮ Mining the factor zoo: estimation of latent factor models with sufficient proxies ⋮ Identifying latent factors based on high-frequency data ⋮ The three-pass regression filter: a new approach to forecasting using many predictors ⋮ LIMIT THEOREMS FOR FACTOR MODELS ⋮ Model selection in factor-augmented regressions with estimated factors

Cites Work

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• Instrumental Variables Regression with Weak Instruments
• A Test of the Efficiency of a Given Portfolio
• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds

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