Identification robust inference for the risk premium in term structure models

DOI10.1016/J.JECONOM.2024.105728MaRDI QIDQ7011708zbMATH OpenFDO

Authors Frank Kleibergen, L. W. Kong

Publication date 18 March 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105728

zbMATH Keywords

asset pricingrisk premiarobust inferenceweak identification

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Conditional Likelihood Ratio Test for Structural Models
• A more powerful subvector Anderson Rubin test in linear instrumental variables regression
• A test for Kronecker product structure covariance matrix
• A theory of the term structure of interest rates
• A Trace Minimization Algorithm for the Generalized Eigenvalue Problem
• An equilibrium characterization of the term structure
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Efficient GMM with nearly-weak instruments
• Efficient minimum distance estimation with multiple rates of convergence
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• Estimation and inference with weak, semi-strong, and strong identification
• Factor models with many assets: strong factors, weak factors, and the two-pass procedure
• Generalized reduced rank tests using the singular value decomposition
• GMM with Weak Identification
• Identification and estimation of Gaussian affine term structure models
• Identification and inference in two-pass asset pricing models
• Identification-robust estimation and testing of the zero-beta CAPM
• Identification-robust nonparametric inference in a linear IV model
• Long memory affine term structure models
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• On the factor structure of bond returns
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Spurious inference in reduced-rank asset-pricing models
• Testing for common conditionally heteroskedastic factors
• Testing identification strength
• Testing Parameters in GMM Without Assuming that They Are Identified
• Tests of risk premia in linear factor models
• Unexplained factors and their effects on second pass \(R\)-squared's

This page was built for publication: Identification robust inference for the risk premium in term structure models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7011708)