Spurious inference in reduced-rank asset-pricing models (Q4614976)
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scientific article; zbMATH DE number 7010496
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Spurious inference in reduced-rank asset-pricing models |
scientific article; zbMATH DE number 7010496 |
Statements
Spurious Inference in Reduced-Rank Asset-Pricing Models (English)
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1 February 2019
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asset pricing
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spurious risk factors
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reduced-rank models
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model misspecification
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continuously updated GMM
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rank test
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test for overidentifying restrictions
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0.7365258932113647
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0.7327466011047363
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0.7282362580299377
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0.7280799746513367
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0.7223150134086609
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