Supplement to "Spurious Inference in Reduced-Rank Asset-Pricing Models"

This Supplemental Material is structured as follows. Section 1 establishes the equivalence of the CU-GMM estimators with centered and uncentered optimal weighting matrices and serially correlated moment conditions. Section 2 shows that the result in Theorem 2 in the paper continues to hold under the assumption that the returns and the factors are jointly elliptically distributed.

Supplemental Authors: 
Gospodinov, Nikolay - Federal Reserve Bank of Atlanta
Kan, Raymond - University of Toronto
Robotti, Cesare - University of Georgia
Online Appendix