The paper considers the K-statistic, Kleibergen’s (2000) adaptation of the Anderson-Rubin (AR) statistic in instrumental variables regression. Compared to the AR-statistic this K-statistic shows improved asymptotic efficiency in terms of degrees of freedom in overidenti?ed models and yet it...

The paper considers the K-statistic, Kleibergen’s (2000) adaptation of

The paper considers the K-statistic, Kleibergen’s (2000) adaptation ofthe Anderson-Rubin (AR) statistic in instrumental variables regression.Compared to the AR-statistic this K-statistic shows improvedasymptotic efficiency in terms of degrees of freedom in overidentifiedmodels and yet it...

This paper introduces a general, formal treatment of dynamic constraints, i.e., constraints on the state changes that are allowed in a given state space. Such dynamic constraints can be seen as representations of "real world" constraints in a managerial context. The notions of transition,...

The paper presents a mean-variance frontier based on dynamic frictionless investment strategies in continuous time. The result applies to a finite number of risky assets whose price process is given by multivariate geometric Brownian motion with deterministically varying coefficients. The...

The paper considers the estimation of the coefficients of a single equation in the presence of dummy intruments. We derive pseudo ML and GMM estimators based on moment restrictions induced either by the structural form or by the reduced form of the model. The performance of the estimators is...

Empirical modeling of the yield curve is often inconsistent with absence of arbitrage. In fact, many parsimonious models, like the popular Nelson-Siegel model, are inconsistent with absence of arbitrage. In other cases, arbitrage-free models are often used in inconsistent ways by recalibrating...

The paper presents an arbitrage-free yield model based on macro-portfolio dynamics. Apart from a level factor, detrended portfolio values serve as factors for the yield model. Using trend-balanced portfolios and parameters in terms of the instantaneous mean-variance frontier, risk premia and...

Motivated by yield curve modeling, we solve dynamic mean-variance efficiency problems in both discrete and continuous time. Our solution applies to both complete and incomplete markets and we do not require the existence of a riskless asset, which is relevant for yield curve modeling. Stochastic...