论文检索

资产定价中的模型误设与弱识别AI 解读

The widespread co-existence of misspecification and weak identification in asset pricing has led to an overstated performance of risk factors. Because the conventional Fama and MacBeth (1973) methodology is jeopardized by misspecification and weak identification, we infer risk premia by using a double robust Lagrange multiplier test that remains reliable in the presence of these two empirically relevant issues. Moreover, we show how the identification, and the resulting…

连续更新 GMM 的双重稳健推断AI 解读

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the pseudo-true value of the structural parameters in the generalized method of moments. The pseudo-true value is defined as the minimizer of the population continuous updating objective function and equals the true value of the structural parameter in the absence of misspecification.\nocite{hhy96} The (bounding) chi-squared limiting distribution of the DRLM statistic is…