Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing ModelsNikolay Gospodinov, Raymond Kan, and Cesare Robotti
Working Paper 2015-9 (October)
Deriving explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models, the authors propose robust variance estimators that allow the researcher to conduct valid inference even when the model is rejected by the data.
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- Jan. 26
- Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models
- Data Digests Updated with Recent Data
- Labor Report Silver Lining? ZPOP Ratio Continued to Rise in September
- New Data for Wu-Xia Shadow Federal Funds Rate
- Economic & Financial Highlights
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- I Want My Two Dollars!
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