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On optimal instrumental Variables generators: an Application to Hedge Funds Returns.

Publication: International Advances in Economic Research
Publication Date: 01-NOV-08 		Format: Online
Delivery: Immediate Online Access

Article Excerpt
JEL C10 F39 G10 G20

In this paper, we propose a new benchmarking procedure that relies on cumulants for computing the factor loadings in financial models of returns. This procedure was developed originally by Geary [(1942, "Inherent Relations Between Random Variables," [Proceedings of the Royal Irish Academy, 47, p. 63-76], Durbin [(1954, "Errors in Variables," Review of the International Statistics Institute, 22(1), p. 23-32] and Pal [(1980), "Consistent Moment Estimators of Regression coefficients in the Presence of Errors in Variable," Journal of Econometrics, 14 (3), p. 349-364]. There were very few studies on the...

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