Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
宏观—金融解耦：宏观资产定价模型的稳健评估
This paper shows that robust inference under weak identification is important to the evaluation of many influential macro asset pricing models, including (time‐varying) rare‐disaster risk models and long‐run risk models. Building on recent developments in the conditional inference literature, we provide a novel conditional specification test by simulating the critical value conditional on a sufficient statistic. This sufficient statistic can be intuitively interpreted as a…