کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096200 1478578 2012 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
چکیده انگلیسی
We propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios. We prove their asymptotic equivalence to existing tests under local alternatives. We also show that unlike two-step or iterated procedures, single-step methods such as continuously updated GMM yield numerically identical overidentifying restrictions test, so there is arguably a single spanning test. To prove these results, we extend optimal GMM inference to deal with singularities in the long run second moment matrix of the influence functions. Finally, we test for spanning using size and book-to-market sorted US stock portfolios.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 170, Issue 2, October 2012, Pages 303-324
نویسندگان
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