This paper shows that robust inference under weak identification is important to the evaluation of many influential macro asset pricing models, including long-run risk models, disaster risk models, and multifactor linear asset pricing models. Building on recent developments in the conditional...

This paper shows that robust inference under weak identification is important to the evaluation of many influential macro asset pricing models, including long-run risk models, disaster risk models, and multi-factor linear asset pricing models. Building on recent developments in the conditional...

This paper considers the estimation of dynamic causal effects using external instruments and a structural vector-autoregressive model with possibly non-stationary regressors. We provide general conditions under which the asymptotic normal approximation remains valid. In this case, the asymptotic...