Macro-finance decoupling: robust evaluations of macro asset pricing models

DOI10.3982/ECTA18506MaRDI QIDQ5087309zbMATH OpenOpenAlexFDO

Authors Xu Cheng, Winston Wei Dou, Zhipeng Liao

Publication date 11 July 2022

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta18506

zbMATH Keywords

conditional inferenceinformation imbalancelong-run riskrare disastersstructural asset pricingweak identification

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Identification and inference in two-pass asset pricing models
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(4)

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• Double robust inference for continuous updating GMM
• Exogeneity tests and weak identification in IV regressions: asymptotic theory and point estimation

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