Are consumption-based intertemporal capital asset pricing models structural?
From MaRDI portal
Publication:808144
DOI10.1016/0304-4076(90)90096-CzbMath0731.62157MaRDI QIDQ808144
Eric Ghysels, Alastair R. Hall
Publication date: 1990
Published in: Journal of Econometrics (Search for Journal in Brave)
stabilityoveridentifying restrictionsempirical consumption-based asset pricing modelssingle asset returns
Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)
Related Items (12)
Estimation and testing of Euler equation models with time-varying reduced-form coefficients ⋮ Changes in seasonal patterns. Are they cyclical? ⋮ Recent developments in the econometrics of structural change ⋮ The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment ⋮ Predictive tests for structural change with unknown breakpoint ⋮ On a test for structural stability of euler conditions parameters estimated via the generalized method of moments estimator: small sample properties ⋮ STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA ⋮ Changes in seasonal patterns ⋮ On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference ⋮ Regression models with mixed sampling frequencies ⋮ Approximate \(p\)-values of predictive tests for structural stability ⋮ Are consumption-based intertemporal capital asset pricing models structural?
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- Are consumption-based intertemporal capital asset pricing models structural?
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- Generalized method of moments specification testing
- ON THE ANALYSIS OF MULTIPLE REGRESSION IN k CATEGORIES
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Hypothesis Testing with Efficient Method of Moments Estimation
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Asset Prices in an Exchange Economy
- Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
- Generalized Predictive Tests and Structural Change Analysis in Econometrics
- Inference in Nonlinear Econometric Models with Structural Change
- Generalized Chow Tests for Structural Change: A Coordinate-Free Approach
- A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty
- Community Preference Fields
This page was built for publication: Are consumption-based intertemporal capital asset pricing models structural?
