Double robust inference for continuous updating GMM

DOI10.3982/QE2347MaRDI QIDQ6983469zbMATH OpenFDO

Authors Frank Kleibergen, Zhaoguo Zhan

Publication date 14 May 2025

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/QE2347

zbMATH Keywords

misspecificationrobust inferenceLagrange multiplierweak identification

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(2)

• Double robust inference for continuous updating GMM
• Risk premia from the cross-section of individual assets

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