1 citations · 1 across the 5 of their papers we have counts for
6 papers
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…
Misspecification and Weak Identification in Asset Pricing
Frank Kleibergen, Zhaoguo Zhan
The widespread co-existence of misspecification and weak identification in asset pricing has led to an overstated performance of risk factors. Because the conventional Fama and Mac…
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…
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…
A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity
Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis
We introduce a new test for a two-sided hypothesis involving a subset of the structural parameter vector in the linear instrumental variables (IVs) model. Guggenberger et al. (2019…
A Test for Kronecker Product Structure Covariance Matrix
Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis
We propose a test for a covariance matrix to have Kronecker Product Structure (KPS). KPS implies a reduced rank restriction on a certain transformation of the covariance matrix and…