Identification-robust and simultaneous inference in multifactor asset pricing models

DOI10.1016/J.JECONOM.2024.105915MaRDI QIDQ7011695zbMATH OpenFDO

Authors Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf

Publication date 18 March 2025

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

zbMATH Keywords

exact testweak identificationmultivariate linear regressionidentification-robust inferencelinear asset pricingtraded and non-traded factors

Mathematics Subject Classification ID

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)

This page was built for publication: Identification-robust and simultaneous inference in multifactor asset pricing models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7011695)