Tests of risk premia in linear factor models

DOI10.1016/J.JECONOM.2009.01.013MaRDI QIDQ302111zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A Conditional Likelihood Ratio Test for Structural Models
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Common risk factors in the returns on stocks and bonds
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• Instrumental Variables Regression with Weak Instruments
• Large Sample Properties of Generalized Method of Moments Estimators
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Testing Parameters in GMM Without Assuming that They Are Identified
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

Cited in

(19)

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

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