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GMM procedures
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asymptotic approximations
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excess returns
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Sentana, Enrique
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The Review of Economics and Statistics
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A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Peñaranda, Francisco
;
Sentana, Enrique
- In:
The Review of Economics and Statistics
2
(
2015
)
97
,
pp. 412-435
commonly used to empirically evaluate linear factor pricing models. We show that unlike two-step or iterated
GMM
procedures
…
Persistent link: https://www.econbiz.de/10011266978
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