Identification-Robust Estimation and Testing of the Zero-Beta CAPM
نویسندگان
چکیده
منابع مشابه
Identification-robust estimation and testing of the zero-beta CAPM
We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zerobeta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as heteroskedascity and autocorrelation corrected (HAC) Wald-type procedures, which are robust to weak identificati...
متن کاملIdentification-robust estimation and testing of the zero-beta
We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown; (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose likelihood-ratio-type tests as well as Fieller-type procedures based on a Hotelling-HAC statistic, which are robust to weak identification and al...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1759960