This paper shows that robust inference under weak identification is important to the evaluation of many influential macro asset pricing models, including long-run risk models, disaster risk models, and multifactor linear asset pricing models. Building on recent developments in the conditional...

This supplemental appendix contains additional technical details of Cheng, Dou, and Liao (2020). Section SA provides the proofs of several lemmas on the asymptotic convergence of the random components in the test statistic T and the conditional critical value. Section SB verifies the bounded...

This paper shows that robust inference under weak identification is important to the evaluation of many influential macro asset pricing models, including long-run risk models, disaster risk models, and multi-factor linear asset pricing models. Building on recent developments in the conditional...

This note contains additional model derivation and numerical details of the main text Cheng,Dou, and Liao (2021). Section A derives the Euler equations that serve as the asset pricingmoment conditions in the disaster risk model and the long-run risk model. Section B considersthe long-run risk...

We clear up an ambiguity in Gibbons, Ross and Shanken (1989, GRS hereafter) by providing the correct formula of the GRS test statistic for the multiple factor case and proving its exact F distribution, issues unaddressed in GRS (1989). We theoretically and empirically illustrate the consequences...