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Misspecification and Weak Identification in Asset Pricing
Moreover, we show how the identification, and the resulting appropriate interpretation, of the risk premia is governed by the relative magnitudes of the misspecification J-statistic and the identification IS-statistic.
Double robust inference for continuous updating GMM
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 of moments.
Local Composite Quantile Regression for Regression Discontinuity
We introduce the local composite quantile regression (LCQR) to causal inference in regression discontinuity (RD) designs.
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