Search Results

SORT BY: PREVIOUS / NEXT
Keywords:asymptotic approximation 

Working Paper
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model parameters even when the model is rejected by the data. Although the results for the maximum likelihood estimator are only applicable to linear asset-pricing models, the asymptotic distribution of the continuously updated GMM estimator is derived for general, possibly nonlinear, models. The large ...
FRB Atlanta Working Paper , Paper 2015-9

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C12 1 items

C13 1 items

G12 1 items

PREVIOUS / NEXT