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Structural stability testing in models estimated by generalized method of moments
Hall, Alastair R.; Sen, Amit - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 3, pp. 335-348
Persistent link: https://www.econbiz.de/10001410716
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Two further aspects of some new tests for structural stability
Sen, Amit; Hall, Alastair R. - In: Structural change and economic dynamics : SC+ED 10 (1999) 3/4, pp. 431-443
Persistent link: https://www.econbiz.de/10001645453
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GMM with weak identification
Stock, James H.; Wright, Jonathan H. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 5, pp. 1055-1096
Persistent link: https://www.econbiz.de/10001510570
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GMM weighting matrices incross-sectional asset pricing tests
Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2020 - This version: November 4, 2020
Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the moment conditions are specifiedsuch that they allow the estimated factor means to substantially deviate from theobserved sample averages. In fact, by shifting the weights on the...
Persistent link: https://www.econbiz.de/10012322408
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The Pricing of Risk-Neutral Systematic Moments in the Cross-Section of Expected Returns
DeLisle, Jared - 2011
only positive skewness changes is inconsistent with the predictions of prospect theory …
Persistent link: https://www.econbiz.de/10013131884
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Macro liquidity risk, money growth, and the cross-section of stock returns : the case of Korea
Jung, Hosung; Kim, Dongcheol - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1438-1454
Persistent link: https://www.econbiz.de/10011563532
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Testing competing factor pricing models
Söderlind, Paul - 2016 - This version: May 2016
A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.
Persistent link: https://www.econbiz.de/10011686300
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GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests
Laurinaityte, Nora - 2020
Cross-sectional asset pricing tests with GMM can generate spuriously high explanatory power for factor models when the moment conditions are specified such that they allow the estimated factor means to substantially deviate from the observed sample averages. In fact, by shifting the weights on...
Persistent link: https://www.econbiz.de/10012853431
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Conditional dynamics and the multihorizon risk-return trade-off
Chernov, Mikhail; Lochstoer, Lars A.; Lundeby, Stig R. H. - In: The review of financial studies 35 (2022) 3, pp. 1310-1347
Persistent link: https://www.econbiz.de/10012878991
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GMM Weighting Matrices In Cross-Sectional Asset Pricing Tests
Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2021
Cross-sectional asset pricing tests with GMM can generate spuriously high explanatory power for factor models when the moment conditions are specified such that they allow the estimated factor means to substantially deviate from the observed sample averages. In fact, by shifting the weights on...
Persistent link: https://www.econbiz.de/10013249850