Identification robust inference for the risk premium in term structure models
期限结构模型中风险溢价的识别稳健推断
We propose identification robust statistics for testing hypotheses on the risk premia in dynamic affine term structure models. We do so using the moment equation specification proposed in Adrian et al. (2013). Statistical inference based on their three-stage estimator requires knowledge of the risk factors’ quality and can be misleading when the β’s are weak, which results when sampling errors are of comparable order of magnitude as the risk factor loadings. We extend the…