Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
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- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2014. "Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors," Review of Financial Studies, Society for Financial Studies, pages 2139-2170.
References listed on IDEAS
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- Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," FRB Atlanta Working Paper 2006-10, Federal Reserve Bank of Atlanta.
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More about this item
Keywordsasset pricing models; lack of identification; model misspecification; GMM estimation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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