In models that have a representation of the form       ) , ( x g y the Wald test for ˆBeta has systematically wrong size in finite samples when the indentifying parameter Gamma is small relative to its estimation error. An alternative test based on linearization of g(.) can be...

This paper presents a closed-form asymptotic variance-covariance matrix of the Quasi-Maximum Likelihood Estimator (QMLE) for the GARCH(1,1) model. The robust 'sandwich' asymptotic variance matrix is shown to be a product of the function of higher moments of innovation and the inverse of negative...

This paper investigates the empirical evidence of long-run risk and its implications for the equity premium puzzle. We find that the long-run risk model is generally weakly identified and that standard inferences tend to underestimate the uncertainty of long-run risk. We extend the LM-type test...