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  • Search: subject:"continuously updated GMM"
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Year of publication
Subject
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continuously updated GMM 9 model misspecification 9 maximum likelihood 8 Method of moments 7 Momentenmethode 7 asset pricing 7 CAPM 6 Estimation theory 6 Schätztheorie 6 rank test 6 Modellierung 5 Scientific modelling 5 unidentified models 5 Stochastic process 4 Stochastischer Prozess 4 test for overidentifying restrictions 4 Asset pricing 3 Continuously Updated GMM 3 Risiko 3 Risk 3 asymptotic approximation 3 irrelevant risk factors 3 misspecification-robust tests 3 spurious risk factors 3 Continuously updated GMM 2 Estimation 2 GMM 2 Schätzung 2 Statistical test 2 Statistischer Test 2 goodness-of-fit 2 Asset Pricing 1 Backward-looking Behaviour 1 Consumption-based capital asset pricing model 1 Continuously-updated GMM 1 Criterion-based test 1 Discounting 1 Diskontierung 1 Factor analysis 1 Factor pricing models 1
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Online availability
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Free 10 Undetermined 5
Type of publication
All
Book / Working Paper 11 Article 5
Type of publication (narrower categories)
All
Working Paper 7 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article in journal 3 Aufsatz in Zeitschrift 3
Language
All
English 12 Undetermined 4
Author
All
Kan, Raymond 9 Robotti, Cesare 9 Gospodinov, Nikolaj 6 Gospodinov, Nikolay 3 Peñaranda, Francisco 3 Sentana, Enrique 3 Mardaneh, Somayeh 2 Bonnal, Hélène 1 Manresa, Elena 1 Ouysse, Rachida 1 Renault, Éric 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 Federal Reserve Bank of Atlanta 1
Published in...
All
Working Paper 3 Working papers / Federal Reserve Bank of Atlanta 3 CIRANO Working Papers 1 Computational Statistics 1 Discussion Papers in Economics 1 Discussion papers / University of Leicester, Department of Economics 1 Econometric reviews 1 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 Journal of Econometrics 1 Journal of financial economics 1 Working Paper / Federal Reserve Bank of Atlanta 1
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Source
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ECONIS (ZBW) 7 RePEc 6 EconStor 3
Showing 1 - 10 of 16
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Empirical evaluation of overspecified asset pricing models
Manresa, Elena; Peñaranda, Francisco; Sentana, Enrique - In: Journal of financial economics 147 (2023) 2, pp. 338-351
Persistent link: https://www.econbiz.de/10013546675
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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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Cover Image
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
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Cover Image
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
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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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Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometric reviews 37 (2018) 6/10, pp. 695-718
Persistent link: https://www.econbiz.de/10012040404
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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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