Frank Kleibergen, Lingwei Kong
arXiv 24 Jul 2023 · Econometrics · publishedJournal of Econometrics (2024)
arXiv:2307.12628 · PDF · DOI · OpenAlex · Extracted main text
We propose identification robust statistics for testing hypotheses on the risk premia in dynamic affine term structure models. We do so using the moment equation specification proposed for these models in Adrian et al. (2013). We extend the subset (factor) Anderson-Rubin test from Guggenberger et al. (2012) to models with multiple dynamic factors and time-varying risk prices. Unlike projection-based tests, it provides a computationally tractable manner to conduct identification robust tests on a larger number of parameters. We analyze the potential identification issues arising in empirical studies. Statistical inference based on the three-stage estimator from Adrian et al. (2013) requires knowledge of the factors' quality and is misleading without full-rank beta's or with sampling errors of comparable size as the loadings. Empirical applications show that some factors, though potentially weak, may drive the time variation of risk prices, and weak identification issues are more prominent in multi-factor models.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Adrian, T., R. K. Crump and E. Moench, Pricing the term structure wi… (2013) 110–138 | 0.913 | 21 | 7 | 76% |
| 2 | Ang, A. and M. Piazzesi, A no-arbitrage vector autoregression of ter… (2003) 745–787 | 0.843 | 3 | 3 | 100% |
| 3 | Kleibergen, F., L. Kong and Z. Zhan, Identification robust testing o… (2022) self | 0.737 | 3 | 3 | 67% |
| 4 | Kleibergen, F., Testing parameters in GMM without assuming that they… (2009) 149–173 self | 0.737 | 3 | 2 | 100% |
| 5 | Kleibergen, F. and Z. Zhan, Unexplained factors and their effects on… (2020) 507–550 self | 0.737 | 3 | 2 | 100% |
| 6 | Guggenberger, P., F. Kleibergen and S. Mavroeidis, A more powerful s… (2022) | 0.644 | 4 | 2 | 50% |
| 7 | Hamilton, J. D. and J. C. Wu, Identification and estimation of Gauss… (2012) 315–331 | 0.644 | 4 | 2 | 50% |
| 8 | Khalaf, L. and H. Schaller, Identification and inference in two-pass… (2016) 165–177 | 0.644 | 2 | 2 | 100% |
| 9 | Kleibergen, F., Testing parameters in GMM without assuming that they… (2005) 1103–1123 self | 0.644 | 2 | 2 | 100% |
| 10 | Guggenberger, P., F. Kleibergen, S. Mavroeidis and L. Chen, On the a… (2012) 2649–2666 | 0.511 | 2 | 1 | 100% |
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