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Methods for estimation and inference in modern econometrics

Anatolyev, Stanislav; Gospodinov, Nikolay - 2011

Persistent link: https://www.econbiz.de/10009243504

Robust asymptotic inference in autoregressive models with martingale difference errors

Gospodinov, Nikolaj - In: Econometric reviews 24 (2005) 1, pp. 59-81

Persistent link: https://www.econbiz.de/10002655592

Misspecification-robust inference in linear asset-pricing models with irrelevant risk factors

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: The review of financial studies 27 (2014) 7, pp. 2139-2170

Persistent link: https://www.econbiz.de/10010443073

Spurious Inference in Unidentified Asset-Pricing Models

Gospodinov, Nikolay - 2015

This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...

Persistent link: https://www.econbiz.de/10013026092