Showing 1 - 10 of 21
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
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 researcher to conduct valid inference on the model...
Persistent link: https://www.econbiz.de/10011460616
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/10010942127
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
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 researcher to conduct valid inference on the model...
Persistent link: https://www.econbiz.de/10011344636
This paper proposes an entropy-based approach for aggregating information from misspecified asset pricing models. The statistical paradigm is shifted away from parameter estimation of an optimally selected model to stochastic optimization based on a risk function of aggregation across models....
Persistent link: https://www.econbiz.de/10011771622
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
The attempt to match characteristics of asset pricing models such as the risk-free interest rate, equity premium and the Sharpe ratio for models with instantaneous consumption decisions in the context of stochastic growth models has not been very successful. Many recent versions of asset pricing...
Persistent link: https://www.econbiz.de/10005537616
Persistent link: https://www.econbiz.de/10005537672
Hansen and Jagannathan (1991) proposed a volatility bound for evaluating asset-pricing models that is a restriction on the volatility of a representative agentÌs intertemporal marginal rate of substitution (IMRS). We develop a generalization of their bound that (i) incorporates the serial...
Persistent link: https://www.econbiz.de/10005537761