A Combined Approach to the Inference of Conditional Factor Models
提出一个两阶段估计程序，统一了条件因子模型的参数与非参数方法，并开发了新的检验统计量，用于检验单个或多个资产的假设，以及检查第一阶段参数模型的设定是否正确。
This article develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature--the parametric approach and the nonparametric approach. Our combined approach possesses important advantages over both methods. Using our two-stage combined estimator, we derive new test statistics for investigating key hypotheses in the context of conditional factor models. Our tests can be performed on a single asset or jointly across multiple assets. We further propose a novel test to directly check whether the parametric model used in our first stage is correctly specified. Simulations indicate that our estimates and tests perform well in finite samples. In our empirical analysis, we use our new method to examine the performance of the conditional capital asset pricing model (CAPM), which has generated controversial results in the recent asset-pricing literature.