Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

DOI10.1080/07474938.2016.1165945MaRDI QIDQ5862492zbMATH OpenOpenAlexFDO

Authors Nikolay Gospodinov, Raymond Kan, Cesare Robotti

Publication date 9 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://wrap.warwick.ac.uk/104033/1/WRAP-asymptotic-variance-approximations-asset-pricing-Robotti-2018.pdf

zbMATH Keywords

asset pricingasymptotic approximationcontinuously-updated GMMmaximum likelihoodmisspecification-robust testsmodel misspecification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• Chi-squared tests for evaluation and comparison of asset pricing models
• Common risk factors in the returns on stocks and bonds
• GEL criteria for moment condition models
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• scientific article; zbMATH DE number 4020230 (Why is no real title available?)
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• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Inferring the rank of a matrix
• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum Likelihood Estimation of Misspecified Models
• Measures of multivariate skewness and kurtosis with applications
• On the behavior of inconsistent instrumental variable estimators
• On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
• Point estimation with exponentially tilted empirical likelihood
• The large sample behaviour of the generalized method of moments estimator in misspecified models

Cited in

(2)

• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Assessing misspecified asset pricing models with empirical likelihood estimators

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