Spurious Inference in Unidentified Asset-Pricing Models
Year of publication: |
2014-10-31
|
---|---|
Authors: | Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond |
Institutions: | Federal Reserve Bank of Atlanta |
Subject: | asset pricing | irrelevant risk factors | unidentified models | model misspecification | continuously updated GMM | maximum likelihood | rank test | test for overidentifying restrictions |
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