Arbeitspapier

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model parameters even when the model is rejected by the data. Although the results for the maximum likelihood estimator are only applicable to linear asset-pricing models, the asymptotic distribution of the continuously updated GMM estimator is derived for general, possibly nonlinear, models. The large corrections in the asymptotic variances, which arise from explicitly incorporating model misspecification in the analysis, are illustrated using simulations and an empirical application.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 2015-9

Klassifikation
Wirtschaft
Hypothesis Testing: General
Estimation: General
Asset Pricing; Trading Volume; Bond Interest Rates
Thema
asset pricing
model misspecification
continuously updated GMM
maximum likelihood
asymptotic approximation
misspecification-robust tests

Ereignis
Geistige Schöpfung
(wer)
Gospodinov, Nikolay
Kan, Raymond
Robotti, Cesare
Ereignis
Veröffentlichung
(wer)
Federal Reserve Bank of Atlanta
(wo)
Atlanta, GA
(wann)
2015

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Gospodinov, Nikolay
  • Kan, Raymond
  • Robotti, Cesare
  • Federal Reserve Bank of Atlanta

Entstanden

  • 2015

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