Generalized aggregation of misspecified models: with an application to asset pricing
From MaRDI portal
Publication:2658796
DOI10.1016/j.jeconom.2020.07.010zbMath1471.62526OpenAlexW3046406212MaRDI QIDQ2658796
Nikolay Gospodinov, Esfandiar Maasoumi
Publication date: 24 March 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.010
Related Items (2)
Editorial for the special issue on financial econometrics in the age of the digital economy ⋮ Rank-Based Greedy Model Averaging for High-Dimensional Survival Data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Kullback-Leibler aggregation and misspecified generalized linear models
- Assessing misspecified asset pricing models with empirical likelihood estimators
- Chi-squared tests for evaluation and comparison of asset pricing models
- Optimal prediction pools
- Jackknife model averaging
- Aggregating opinions through logarithmic pooling
- On the behavior of inconsistent instrumental variable estimators
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Connections between entropic and linear projections in asset pricing estimation
- A Bayesian approach to diagnosis of asset pricing models
- Model selection for density estimation with \(\mathbb L_2\)-loss
- Model selection via testing: an alternative to (penalized) maximum likelihood estimators.
- Robustness, Infinitesimal Neighborhoods, and Moment Restrictions
- Optimal Weight Choice for Frequentist Model Average Estimators
- Model averaging based on Kullback-Leibler distance
- Model Selection and Model Averaging
- Pseudo Maximum Likelihood Methods: Theory
- The Measurement and Decomposition of Multi-Dimensional Inequality
- Marginalization and Linear Opinion Pools
- A Modified Stein-like Estimator for the Reduced Form Coefficients of Simultaneous Equations
- Ideal spatial adaptation by wavelet shrinkage
- Adaptive Regression by Mixing
- Spurious Inference in Reduced-Rank Asset-Pricing Models
- A Dependence Metric for Possibly Nonlinear Processes
- A compendium to information theory in economics and econometrics
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
- PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH
- Robustness
- Least Squares Model Averaging
- Common risk factors in the returns on stocks and bonds
- Maximum Likelihood Estimation of Misspecified Models
- Sparse estimation by exponential weighting
This page was built for publication: Generalized aggregation of misspecified models: with an application to asset pricing
