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Double robust inference for continuous updating GMM
Kleibergen, Frank; Zhan, Zhaoguo - In: Quantitative economics : QE ; journal of the … 16 (2025) 1, pp. 295-327
We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...
Persistent link: https://www.econbiz.de/10015190343
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Identification robust testing of risk premia in finite samples
Kleibergen, Frank; Kong, Lingwei; Zhan, Zhaoguo - In: Journal of financial econometrics 21 (2023) 2, pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
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Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda - In: Journal of financial econometrics 21 (2023) 2, pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
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Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo - In: Journal of financial econometrics 21 (2023) 2, pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
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Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco - In: Journal of financial econometrics 21 (2023) 2, pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
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Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank; Kong, Lingwei; Zhan, Zhaoguo - In: Journal of financial econometrics 21 (2023) 2, pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
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A powerful test needs to be size-correct : response to "robust inference for consumption-based asset pricing with power"
Kleibergen, Frank; Zhan, Zhaoguo - In: Critical finance review 14 (2025) 1, pp. 179-185
Persistent link: https://www.econbiz.de/10015409950
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Local composite quantile regression for regression discontinuity
Huang, Xiao; Zhan, Zhaoguo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1863-1875
Persistent link: https://www.econbiz.de/10013540525
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Equality restricted random variables : densities and sampling algorithms
Kleibergen, Frank - 1997
Persistent link: https://www.econbiz.de/10000953441