{"id":5665,"date":"2023-10-27T13:29:16","date_gmt":"2023-10-27T11:29:16","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-en\/?post_type=events&p=5665"},"modified":"2024-02-22T09:26:20","modified_gmt":"2024-02-22T08:26:20","slug":"df-lunch-seminar-with-prof-peter-g-hansen-purdue-university","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/","title":{"rendered":"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity"},"content":{"rendered":"\n
\n

Identification of Factor Risk Premia<\/strong><\/p>\n\n\n\n

Language:<\/strong> English<\/p>\n\n\n\n

Registration<\/a><\/p>\n\n\n\n

Abstract:<\/strong><\/p>\n\n\n\n

This paper a develops novel statistical test of whether individual factor risk premia are identified from return data in multi-factor models. We give a necessary and sufficient condition for population identification of individual risk premia, which we call the kernel-orthogonality condition. This condition is weaker than the standard rank condition commonly assumed for linear factor models. Under misspecification, our condition ensures point identification of the risk premium with minimal pricing error. We show how to test this restriction directly in reduced-rank models. Finally, we apply our test methodology to assess identification of risk premia associated with consumption growth and intermediary leverage.<\/p>\n\n\n\n

The seminar will be held in place.<\/p>\n\n\n

<\/div>\n\n\n
\n
\n \n\"\"\n <\/figure><\/div>\n\n\n\n
<\/div>\n\n\n

Supported by the Luxembourg National Research Fund (FNR) (2022\/17573036<\/em><\/strong><\/em>)<\/p>\n<\/div>\n<\/div>\n<\/div><\/section>\n","protected":false},"excerpt":{"rendered":"","protected":false},"author":47,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2023-11-09 12:15:00","event_end_date":"2023-11-09 13:30:00","event_speaker_name":"Prof. Peter G. Hansen, Purdue 成人头条versity","event_speaker_link":"","event_is_online":false,"event_location":"成人头条, JFK Building, Room Nancy, 29, avenue J.F. Kennedy\n","event_street":"","event_location_link":"","event_zip_code":"1855 ","event_city":"Luxembourg","event_country":"Luxembourg"},"events-topic":[],"events-type":[],"organisation":[101],"authorship":[],"acf":[],"yoast_head":"\nDF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity - FDEF events I 成人头条.lu<\/title>\n<meta name=\"description\" content=\"Identification of Factor Risk Premia Language: English Registration Abstract: This paper a develops novel statistical test of whether individual factor\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity\" \/>\n<meta property=\"og:description\" content=\"Identification of Factor Risk Premia Language: English Registration Abstract: This paper a develops novel statistical test of whether individual factor\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/\" \/>\n<meta property=\"og:site_name\" content=\"FDEF EN\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.FDEF.lu\" \/>\n<meta property=\"article:modified_time\" content=\"2024-02-22T08:26:20+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/09\/thumbnails-news-events-DF-Lunch-Seminar.png\" \/>\n\t<meta property=\"og:image:width\" content=\"1000\" \/>\n\t<meta property=\"og:image:height\" content=\"665\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/png\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Estimated reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/\",\"url\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/\",\"name\":\"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity - FDEF events I 成人头条.lu\",\"isPartOf\":{\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/#website\"},\"datePublished\":\"2023-10-27T11:29:16+00:00\",\"dateModified\":\"2024-02-22T08:26:20+00:00\",\"description\":\"Identification of Factor Risk Premia Language: English Registration Abstract: This paper a develops novel statistical test of whether individual factor\",\"breadcrumb\":{\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/#breadcrumb\"},\"inLanguage\":\"en-GB\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/www.uni.lu\/en\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Faculty of Law, Economics and Finance\",\"item\":\"https:\/\/www.uni.lu\/fdef-en\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"Events\",\"item\":\"https:\/\/www.uni.lu\/fdef-en\/events\/\"},{\"@type\":\"ListItem\",\"position\":4,\"name\":\"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/#website\",\"url\":\"https:\/\/www.uni.lu\/fdef-en\/\",\"name\":\"FDEF\",\"description\":\"Faculty of Law, Economics and Finance I 成人头条.lu\",\"publisher\":{\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/#organization\"},\"alternateName\":\"Faculty of Law, Economics and Finance I 成人头条\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.uni.lu\/fdef-en\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"en-GB\"},{\"@type\":\"Organization\",\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/#organization\",\"name\":\"FDEF - 成人头条 I 成人头条.lu\",\"alternateName\":\"Faculty of Law, Economics and Finance\",\"url\":\"https:\/\/www.uni.lu\/fdef-en\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-GB\",\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2026\/03\/03111918\/FDEF_SM-Profile_1600x1600px-scaled.jpg\",\"contentUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2026\/03\/03111918\/FDEF_SM-Profile_1600x1600px-scaled.jpg\",\"width\":2560,\"height\":2560,\"caption\":\"FDEF - 成人头条 I 成人头条.lu\"},\"image\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2026\/04\/24144328\/20200609-Belval-Campus_Henri-Goergen-23.jpg\",\"sameAs\":[\"https:\/\/www.facebook.com\/uni.FDEF.lu\",\"https:\/\/www.linkedin.com\/showcase\/fdef-uni-lu\/\"],\"email\":\"communication@uni.lu\",\"telephone\":\"+3524666441\",\"address\":{\"@type\":\"PostalAddress\",\"streetAddress\":\"2, place de l\u2019成人头条versit\u00e9\",\"addressLocality\":\"Esch-sur-Alzette\",\"postalCode\":\"4365\",\"addressCountry\":\"LU\"},\"description\":\"Faculty of Law, Economics and Finance I 成人头条.lu\"}]}<\/script>\n<!-- \/ Yoast SEO Premium plugin. -->","yoast_head_json":{"title":"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity - FDEF events I 成人头条.lu","description":"Identification of Factor Risk Premia Language: English Registration Abstract: This paper a develops novel statistical test of whether individual factor","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/","og_locale":"en_GB","og_type":"article","og_title":"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity","og_description":"Identification of Factor Risk Premia Language: English Registration Abstract: This paper a develops novel statistical test of whether individual factor","og_url":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/","og_site_name":"FDEF EN","article_publisher":"https:\/\/www.facebook.com\/uni.FDEF.lu","article_modified_time":"2024-02-22T08:26:20+00:00","og_image":[{"width":1000,"height":665,"url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/09\/thumbnails-news-events-DF-Lunch-Seminar.png","type":"image\/png"}],"twitter_card":"summary_large_image","twitter_misc":{"Estimated reading time":"1 minute"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/","url":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/","name":"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity - FDEF events I 成人头条.lu","isPartOf":{"@id":"https:\/\/www.uni.lu\/fdef-en\/#website"},"datePublished":"2023-10-27T11:29:16+00:00","dateModified":"2024-02-22T08:26:20+00:00","description":"Identification of Factor Risk Premia Language: English Registration Abstract: This paper a develops novel statistical test of whether individual factor","breadcrumb":{"@id":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/#breadcrumb"},"inLanguage":"en-GB","potentialAction":[{"@type":"ReadAction","target":["https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/www.uni.lu\/en"},{"@type":"ListItem","position":2,"name":"Faculty of Law, Economics and Finance","item":"https:\/\/www.uni.lu\/fdef-en\/"},{"@type":"ListItem","position":3,"name":"Events","item":"https:\/\/www.uni.lu\/fdef-en\/events\/"},{"@type":"ListItem","position":4,"name":"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue 成人头条versity"}]},{"@type":"WebSite","@id":"https:\/\/www.uni.lu\/fdef-en\/#website","url":"https:\/\/www.uni.lu\/fdef-en\/","name":"FDEF","description":"Faculty of Law, Economics and Finance I 成人头条.lu","publisher":{"@id":"https:\/\/www.uni.lu\/fdef-en\/#organization"},"alternateName":"Faculty of Law, Economics and Finance I 成人头条","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/www.uni.lu\/fdef-en\/?s={search_term_string}"},"query-input":"required name=search_term_string"}],"inLanguage":"en-GB"},{"@type":"Organization","@id":"https:\/\/www.uni.lu\/fdef-en\/#organization","name":"FDEF - 成人头条 I 成人头条.lu","alternateName":"Faculty of Law, Economics and Finance","url":"https:\/\/www.uni.lu\/fdef-en\/","logo":{"@type":"ImageObject","inLanguage":"en-GB","@id":"https:\/\/www.uni.lu\/fdef-en\/#\/schema\/logo\/image\/","url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2026\/03\/03111918\/FDEF_SM-Profile_1600x1600px-scaled.jpg","contentUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2026\/03\/03111918\/FDEF_SM-Profile_1600x1600px-scaled.jpg","width":2560,"height":2560,"caption":"FDEF - 成人头条 I 成人头条.lu"},"image":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2026\/04\/24144328\/20200609-Belval-Campus_Henri-Goergen-23.jpg","sameAs":["https:\/\/www.facebook.com\/uni.FDEF.lu","https:\/\/www.linkedin.com\/showcase\/fdef-uni-lu\/"],"email":"communication@uni.lu","telephone":"+3524666441","address":{"@type":"PostalAddress","streetAddress":"2, place de l\u2019成人头条versit\u00e9","addressLocality":"Esch-sur-Alzette","postalCode":"4365","addressCountry":"LU"},"description":"Faculty of Law, Economics and Finance I 成人头条.lu"}]}},"_links":{"self":[{"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/events\/5665"}],"collection":[{"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/events"}],"about":[{"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/types\/events"}],"author":[{"embeddable":true,"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/users\/47"}],"replies":[{"embeddable":true,"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/comments?post=5665"}],"version-history":[{"count":2,"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/events\/5665\/revisions"}],"predecessor-version":[{"id":8882,"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/events\/5665\/revisions\/8882"}],"wp:attachment":[{"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/media?parent=5665"}],"wp:term":[{"taxonomy":"events-topic","embeddable":true,"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/events-topic?post=5665"},{"taxonomy":"events-type","embeddable":true,"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/events-type?post=5665"},{"taxonomy":"organisation","embeddable":true,"href":"https:\/\/www.uni.lu\/fdef-en\/wp-json\/wp\/v2\/organisation?post=5665"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}