1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2023★ 1 cited
Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models
Lingwei Kong
The Hansen-Jagannathan (HJ) distance statistic is one of the most dominant measures of model misspecification. However, the conventional HJ specification test procedure has poor fi…
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…