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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

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

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

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

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

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