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  • Search: subject:"Continuously Updated GMM"
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Year of publication
Subject
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continuously updated GMM 7 asset pricing 6 maximum likelihood 6 model misspecification 6 Method of moments 4 Momentenmethode 4 rank test 4 unidentified models 4 CAPM 3 Continuously Updated GMM 3 Estimation theory 3 Modellierung 3 Schätztheorie 3 Scientific modelling 3 GMM 2 Risiko 2 Risk 2 asymptotic approximation 2 goodness-of-fit 2 irrelevant risk factors 2 misspecification-robust tests 2 spurious risk factors 2 test for overidentifying restrictions 2 Asset Pricing 1 Backward-looking Behaviour 1 Estimation 1 Factor analysis 1 Faktorenanalyse 1 Forward-looking Behaviour 1 GMM avec révision continue 1 Generalised Empirical Likelihood 1 Generalised Inverse 1 Hybrid New Keynesian Phillips Curve 1 Inflation 1 Infl‡ation 1 Neoclassical synthesis 1 Neoklassische Synthese 1 Oil Price Shock 1 Oil price 1 Phillips curve 1
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Online availability
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Free 10
Type of publication
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Book / Working Paper 10
Type of publication (narrower categories)
All
Working Paper 7 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4
Language
All
English 9 Undetermined 1
Author
All
Kan, Raymond 6 Robotti, Cesare 6 Gospodinov, Nikolaj 4 Gospodinov, Nikolay 2 Mardaneh, Somayeh 2 Bonnal, Hélène 1 Peñaranda, Francisco 1 Renault, Éric 1 Sentana, Enrique 1
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Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics, Leicester University 1
Published in...
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Working Paper 3 Working papers / Federal Reserve Bank of Atlanta 3 CIRANO Working Papers 1 Discussion Papers in Economics 1 Discussion papers / University of Leicester, Department of Economics 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1
Source
All
ECONIS (ZBW) 4 EconStor 3 RePEc 3
Showing 1 - 10 of 10
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Too good to be true? Fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10012030261
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Too good to be true? : fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10011757568
Saved in:
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Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2015
the continuously updated GMM estimator is derived for general, possibly nonlinear, models. The large corrections in the …This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated … GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the …
Persistent link: https://www.econbiz.de/10011460616
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Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2015
the continuously updated GMM estimator is derived for general, possibly nonlinear, models. The large corrections in the …This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated … GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the …
Persistent link: https://www.econbiz.de/10011344636
Saved in:
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Spurious inference in unidentified asset-pricing models
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2014
This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...
Persistent link: https://www.econbiz.de/10010397687
Saved in:
Cover Image
Spurious inference in unidentified asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2014
This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...
Persistent link: https://www.econbiz.de/10010395978
Saved in:
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How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?
Mardaneh, Somayeh - Department of Economics, Leicester University - 2012
updated GMM (CU-GMM). The results for the structural break test confirm 1974:I, 1979:II and 1990:III as identified oil price … is estimated in subsamples formed with oil price shock dates by generalized method of moments (GMM) and continuously …
Persistent link: https://www.econbiz.de/10010583449
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How do oil shocks affect the structural stability of hybrid new Keynesian Phillips curve? /Somayeh Mardaneh
Mardaneh, Somayeh - 2012
Persistent link: https://www.econbiz.de/10009670647
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Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
Peñaranda, Francisco; Sentana, Enrique - Department of Economics and Business, Universitat … - 2008
also show that unlike two-step or iterated procedures, single-step methods such as continuously updated GMM yield …
Persistent link: https://www.econbiz.de/10005827516
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On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood
Bonnal, Hélène; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2004
updated GMM are discussed in the two cases of unconditional and conditional moment restrictions. Plusieurs méthodes … inference by control variables, shrinkage of implied probabilities and information-theoretic interpretations of continuously …
Persistent link: https://www.econbiz.de/10005100546
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