Spurious Inference in Reduced-Rank Asset-Pricing Models
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Publication:4614976
DOI10.3982/ECTA13750zbMath1420.91104OpenAlexW2760762246MaRDI QIDQ4614976
Nikolay Gospodinov, Raymond Kan, Cesare Robotti
Publication date: 1 February 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta13750
asset pricingmodel misspecificationrank testcontinuously updated GMMreduced-rank modelsspurious risk factorstest for overidentifying restrictions
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Generalized aggregation of misspecified models: with an application to asset pricing ⋮ Factor investing for the long run ⋮ Factor models with many assets: strong factors, weak factors, and the two-pass procedure ⋮ Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
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