Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations

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Multifactor models and their consistency with the ICAPM (2012, unknown): “The WLS R2 assigns less weight to the noisier pricing errors, i.e., the pricing errors with greater variance (see Ferson and Harvey, 1999; Shanken and Zhou, 2007).22 Lewellen, Nagel, and Shanken (2010) justify the use of efficient GMM (or, equivalently, GLS/WLS cross-sectional regressions of…”
A Skeptical Appraisal of Asset Pricing Tests (2010, unknown): “…of GLS are generally unknown and the asymptotic properties of textbook econometrics can be a poor approximation, especially when the number of assets is large relative to the length of the time series (Shanken, 1985, provides examples in a closely related context; see also Shanken and Zhou, 2007).”
Temperature shocks and the cost of equity capital: Implications for climate change perceptions (2017, methodology): “…premia in the second pass – with standard refinements: the Shanken (1992) correction to obtain errors-invariables-robust standard errors, accounting for the fact that factor sensitivities are estimated, and the Shanken and Zhou (2007) correction to generate misspecification-robust standard errors.”
Unexplained factors and their effects on second pass R-squared’s (2015, background): “The expressions of the identification robust factor statistics then extend to the case that there is just one observed factor when we remove λ̃F,2 and Ḡ2t + λ̃F,2 from (37)-(42).”