Rolling regression analysis of the Pástor-Stambaugh model : evidence from robust instrumental variables
François-Éric Racicot, William F. Rentz, Alfred L, Kahl
| Year of publication: |
February 2017
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| Authors: | Racicot, François-Éric ; Rentz, William F. ; Kahl, Alfred L, |
| Published in: |
International advances in economic research : IAER ; an official publication of the International Atlantic Economic Society. - Dordrecht [u.a.] : Springer, ISSN 1083-0898, ZDB-ID 1383843-X. - Vol. 23.2017, 1, p. 75-90
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| Subject: | Business cycles | CAPM | Fama-French model | Liquidity | Rolling GMM | Robust instruments | Theorie | Theory | IV-Schätzung | Instrumental variables | Robustes Verfahren | Robust statistics | Regressionsanalyse | Regression analysis | Momentenmethode | Method of moments | Konjunktur | Business cycle | Schätzung | Estimation |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11294-016-9620-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944468