Are consumption-based intertemporal capital asset pricing models structural? (Q808144)
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scientific article; zbMATH DE number 4209429
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| English | Are consumption-based intertemporal capital asset pricing models structural? |
scientific article; zbMATH DE number 4209429 |
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Are consumption-based intertemporal capital asset pricing models structural? (English)
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1990
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\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.
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overidentifying restrictions
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empirical consumption-based asset pricing models
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single asset returns
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stability
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0.7686138153076172
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0.7597288489341736
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0.7476568222045898
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0.7432174682617188
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