Tests of risk premia in linear factor models

DOI10.1016/J.JECONOM.2009.01.013zbMATH Open1429.62680OpenAlexW2096562126MaRDI QIDQ302111FDOQ302111

Authors: 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

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zbMATH Keywords

consumption capital asset pricing modelsize distortion of test statisticssmall \(\beta\)'s

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Title not available (Why is that?)
• Instrumental Variables Regression with Weak Instruments
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Title not available (Why is that?)
• Common risk factors in the returns on stocks and bonds
• Title not available (Why is that?)
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• Testing Parameters in GMM Without Assuming that They Are Identified

Cited In (19)

• The econometrics of mean‐variance efficiency tests: a survey
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• Variation and efficiency of high-frequency betas
• Estimation of Sparsity-Induced Weak Factor Models
• Evaluation of asset pricing models using two-pass cross-sectional regressions
• Can Risk-Based Theories Explain the Value Premium?*
• Factor models with local factors -- determining the number of relevant factors
• Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
• Risk bounds for factor models
• Variable selection in panel models with breaks
• Identification and inference in two-pass asset pricing models
• Subset hypotheses testing and instrument exclusion in the linear IV regression
• On the estimation of asset pricing models using univariate betas
• Reassessing the evidence on factor and portfolio premia
• Factor models with many assets: strong factors, weak factors, and the two-pass procedure
• Unexplained factors and their effects on second pass \(R\)-squared's
• A test for Kronecker product structure covariance matrix
• A diagnostic criterion for approximate factor structure
• Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds

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