Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/320333 
Year of Publication: 
2025
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 16 [Issue:] 1 [Year:] 2025 [Pages:] 295-327
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification, hence its name. The minimizer is the so-called pseudo-true value, which equals the true value of the structural parameter under correct specification. To emphasize its importance for applied work where misspecification and weak identification are common, we use the DRLM test to analyze: the risk premia in Adrian et al. (2014) and He et al. (2017); the structural parameters in a nonlinear asset pricing model with constant relative risk aversion.
Subjects: 
Weak identification
misspecification
robust inference
Lagrangemultiplier
JEL: 
C12
C18
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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