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Found 6 papers, 0 papers with code
Identification Robust Inference for the Risk Premium in Term Structure Models
We propose identification robust statistics for testing hypotheses on the risk premia in dynamic affine term structure models.
Misspecification and Weak Identification in Asset Pricing
Moreover, we show how the identification, and the resulting appropriate interpretation, of the risk premia is governed by the relative magnitudes of the misspecification J-statistic and the identification IS-statistic.
Identification robust inference for moments based analysis of linear dynamic panel data models
We use identification robust tests to show that difference, level and non-linear moment conditions, as proposed by Arellano and Bond (1991), Arellano and Bover (1995), Blundell and Bond (1998) and Ahn and Schmidt (1995) for the linear dynamic panel data model, do not separately identify the autoregressive parameter when its true value is close to one and the variance of the initial observations is large.
Double robust inference for continuous updating GMM
We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the pseudo-true value of the structural parameters in the generalized method of moments.
A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity
We show theoretically that the new test has asymptotic size bounded by the nominal size and document improved power relative to the AR/AR test in a wide array of Monte Carlo simulations when the covariance matrix is not too far from AKP.
A Test for Kronecker Product Structure Covariance Matrix
We propose a test for a covariance matrix to have Kronecker Product Structure (KPS).
