Spurious Inference in Reduced-Rank Asset-Pricing Models (Q4614976)
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scientific article; zbMATH DE number 7010496
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Spurious Inference in Reduced-Rank Asset-Pricing Models |
scientific article; zbMATH DE number 7010496 |
Statements
Spurious Inference in Reduced-Rank Asset-Pricing Models (English)
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1 February 2019
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asset pricing
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spurious risk factors
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reduced-rank models
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model misspecification
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continuously updated GMM
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rank test
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test for overidentifying restrictions
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