activity
20202023
most citedMisspecification and Weak Identification in Asset Pricing

1 citations · 1 across the 5 of their papers we have counts for

collaborators

6 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.EM2022★ 1 cited

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…

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…

econ.EM2021

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…

econ.EM2020

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…