Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/130619 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Working Paper No. 2015-9
Verlag: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Zusammenfassung: 
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 corrections in the asymptotic variances, which arise from explicitly incorporating model misspecification in the analysis, are illustrated using simulations and an empirical application.
Schlagwörter: 
asset pricing
model misspecification
continuously updated GMM
maximum likelihood
asymptotic approximation
misspecification-robust tests
JEL: 
C12
C13
G12
Dokumentart: 
Working Paper

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