Spurious inference in reduced-rank asset-pricing models
Nikolay Gospodinov, Raymond Kan, Cesare Robotti
| Year of publication: |
September 2017
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| Authors: | Gospodinov, Nikolaj ; Kan, Raymond ; Robotti, Cesare |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 85.2017, 5, p. 1613-1628
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| Subject: | Asset pricing | spurious risk factors | reduced-rank models | model misspecification | continuously updated GMM | rank test | test for overidentifying restrictions | CAPM | Momentenmethode | Method of moments | Modellierung | Scientific modelling | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Risiko | Risk | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA13750 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011791596