Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
提出了一种在有限样本下对因子载荷进行精确外生性检验和弱工具变量稳健检验的方法，适用于非高斯扰动和共同截面因子，并应用于巨灾债券共同基金与金融市场的联动分析。
We propose exact exogeneity tests and weak-instruments-robust tests on factor loadings for a system of regressions with possibly non-Gaussian disturbances. Our methodology is valid in finite samples and accounts for common cross-sectional factors. Analytical invariance results are derived, with companion simulation studies. Finally, a total-effect parameter is introduced that embeds the unobservable endogeneity factor. Proposed tests are applied to assess whether Catastrophe bond mutual funds co-move with financial markets. Significant risk premiums are detected globally and over time, although they are less pervasive from a domestic currency perspective. Findings underscore the importance of instrumenting and assessing direct and total effects.