Are consumption-based intertemporal capital asset pricing models structural? (Q808144)

\textit{L. P. Hansen} and \textit{K.J. Singleton} [Econometrika 50, 1269-1286 (1982; Zbl 0497.62098)] and \textit{K. Dunn} and \textit{K.J. Singleton} [J. Financial Econ. 17, 27-55 (1986)] have found supporting evidence for the overidentifying restrictions of two empirical consumption-based asset pricing models, when estimated with a particular set of single asset returns. We submit these models to further scrutiny by testing whether they exhibit (structural) stability. A series of tests are applied and a test for structural invariance is introduced based on a likelihood ratio type test procedure.