Tests of risk premia in linear factor models

DOI10.1016/j.jeconom.2009.01.013zbMath1429.62680OpenAlexW2096562126MaRDI QIDQ302111

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

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (13)

SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION ⋮ Identification and inference in two-pass asset pricing models ⋮ 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 ⋮ A test for Kronecker product structure covariance matrix ⋮ Efficient size correct subset inference in homoskedastic linear instrumental variables regression ⋮ Unexplained factors and their effects on second pass \(R\)-squared's ⋮ The econometrics of mean‐variance efficiency tests: a survey ⋮ Variable selection in panel models with breaks ⋮ Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions ⋮ A diagnostic criterion for approximate factor structure ⋮ Variation and efficiency of high-frequency betas

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Testing Parameters in GMM Without Assuming that They Are Identified
• Common risk factors in the returns on stocks and bonds
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
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