Identification-robust and simultaneous inference in multifactor asset pricing models
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exact testidentification-robust inferencelinear asset pricingmultivariate linear regressiontraded and non-traded factorsweak identification
Statistics (62-XX) Bootstrap, jackknife and other resampling methods (62F40) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Game theory, economics, finance, and other social and behavioral sciences (91-XX) Portfolio theory (91G10) Financial markets (91G15)
Cites work
- Assessing misspecified asset pricing models with empirical likelihood estimators
- Common risk factors in the returns on stocks and bonds
- Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model
- Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
- Finite sample multivariate tests of asset pricing models with coskewness
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- Identification and inference in two-pass asset pricing models
- Identification-robust estimation and testing of the zero-beta CAPM
- Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
- Simulation based finite and large sample tests in multivariate regressions
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- Spurious inference in reduced-rank asset-pricing models
- Tests of risk premia in linear factor models
- Unexplained factors and their effects on second pass \(R\)-squared's
- Which Factors?*
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