Linear Factor Models and the Estimation of Expected Returns
In: Netspar Discussion Paper No. 03/2016-020
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In: Netspar Discussion Paper No. 03/2016-020
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Working paper
In: FEDS Working Paper No. 2024-14
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In: The quarterly review of economics and finance, Band 45, Heft 4-5, S. 808-823
ISSN: 1062-9769
In: Communications in statistics. Theory and methods, Band 42, Heft 16, S. 2944-2958
ISSN: 1532-415X
In: Working Paper : WP2019/09/23
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Working paper
In: Szczygielski, J. J., Brümmer, L. M., & Wolmarans, H. P. (2020). Underspecification of the empirical return-factor model and a factor analytic augmentation as a solution to factor omission. Studies in Economics and Econometrics, 44(2), 133-165.
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In: NBER working paper series 16634
"When linear asset pricing models are estimated using excess return data, a normalization of the model must be selected. Several normalizations are equivalent when the model is correctly specified, but the identification conditions differ across normalizations. In practice, some or all of these identification conditions fail statistically when conventional consumption-based models are estimated, and inference is not robust across normalizations. Using asymptotic theory and Monte Carlo simulations, I present evidence that the lack of robustness in qualitative inference across normalizations can be attributed to model misspecification and lack of identification. I propose the use of tests for failure of the rank conditions. Using a calibrated model, I show that these tests are effective in detecting non-identified models"--National Bureau of Economic Research web site
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In: NBER Working Paper No. w16634
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In: Contributions to Statistics
In the last ten years, there has been increasing interest and activity in the general area of partially linear regression smoothing in statistics. Many methods and techniques have been proposed and studied. This monograph hopes to bring an up-to-date presentation of the state of the art of partially linear regression techniques. The emphasis is on methodologies rather than on the theory, with a particular focus on applications of partially linear regression techniques to various statistical problems. These problems include least squares regression, asymptotically efficient estimation, bootstrap resampling, censored data analysis, linear measurement error models, nonlinear measurement models, nonlinear and nonparametric time series models