3 papers
econ.EM2023
Identification Robust Inference for the Risk Premium in Term Structure Models
Frank Kleibergen, Lingwei Kong
We propose identification robust statistics for testing hypotheses on the risk premia in dynamic affine term structure models. We do so using the moment equation specification prop…
econ.EM2021
Identification robust inference for moments based analysis of linear dynamic panel data models
Maurice J. G. Bun, Frank Kleibergen
We use identification robust tests to show that difference, level and non-linear moment conditions, as proposed by Arellano and Bond (1991), Arellano and Bover (1995), Blundell and…
econ.EM2021
Double robust inference for continuous updating GMM
Frank Kleibergen, Zhaoguo Zhan
We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the pseudo-true value of the structural parameters in the generalized method o…