Tests of risk premia in linear factor models

DOI10.1016/j.jeconom.2009.01.013zbMath1429.62680MaRDI QIDQ302111

Frank Kleibergen

Publication date: 4 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.01.013

zbMATH Keywords

consumption capital asset pricing model; size distortion of test statistics; small \(\beta\)'s

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

Related Items

Unexplained factors and their effects on second pass \(R\)-squared's, Identification and inference in two-pass asset pricing models, Variable selection in panel models with breaks, A diagnostic criterion for approximate factor structure, Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions, SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION, The econometrics of mean‐variance efficiency tests: a survey

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