Efficient Estimation of Linear Asset Pricing Models with Moving-average Errors
Author | : Lars Peter Hansen |
Publisher | : |
Total Pages | : 53 |
Release | : 1990 |
Genre | : Capital assets pricing model |
ISBN | : |
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Author | : Lars Peter Hansen |
Publisher | : |
Total Pages | : 53 |
Release | : 1990 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : Lars Peter Hansen |
Publisher | : |
Total Pages | : 55 |
Release | : 2010 |
Genre | : |
ISBN | : |
This paper explores in depth the nature of the conditional moment restrictions implied by log-linear intertemporal capital asset pricing models (ICAPMs) and shows that the generalized instrumental variables (GMM) estimators of these models (as typically implemented in practice) are inefficient. The moment conditions in the presence of temporally aggregated consumption are derived for two log-linear ICAPMs. The first is a continuous time model in which agents maximize expected utility. In the context of this model, we show that there are important asymmetries between the implied moment conditions for infinitely and finitely-lived securities. The second model assumes that agents maximize non-expected utility, and leads to a very similar econometric relation for the return on the wealth portfolio. Then we describe the efficiency bound (greatest lower bound for the asymptotic variances) of the CNN estimators of the preference parameters in these models. In addition, we calculate the efficient CNN estimators that attain this bound. Finally, we assess the gains in precision from using this optimal CNN estimator relative to the commonly used inefficient CMN estimators.
Author | : P. C. B. Phillips |
Publisher | : Cambridge University Press |
Total Pages | : 390 |
Release | : 2006-01-09 |
Genre | : Business & Economics |
ISBN | : 9780521807234 |
The essays in this book explore important theoretical and applied advances in econometrics.
Author | : Steven Durlauf |
Publisher | : Springer |
Total Pages | : 417 |
Release | : 2016-04-30 |
Genre | : Business & Economics |
ISBN | : 0230280838 |
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author | : |
Publisher | : Springer |
Total Pages | : 7493 |
Release | : 2016-05-18 |
Genre | : Law |
ISBN | : 1349588024 |
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author | : Robert Ernest Hall |
Publisher | : MIT Press |
Total Pages | : 212 |
Release | : 1990 |
Genre | : Business & Economics |
ISBN | : 9780262081979 |
The Rational Consumer brings together eight articles that represent key points in the development of Robert Hall's ideas on consumption over the past two decades. Since the late 1960s, Robert Hall's research has had a significant impact on the macroeconomic study of consumer behavior. The Rational Consumer brings together eight articles that represent key points in the development of Hall's ideas on consumption over the past two decades. In his introduction, Hall puts this work into perspective, tying together his ideas and pointing to how consumer behavior should work in the future given what he has discovered.Working within the standard intertemporal models of consumption - the overlapping generations model and the infinite lifetime model - Hall's contributions to methodology have been especially important. Particularly noteworthy was his challenge to the prevalent model in which current consumption was seen as deriving from expected future income. Hall argued that consumption was, instead, based upon the actual present discounted value of future income.ContentsIntroduction - The Allocation of Wealth among the Generations of a Family that Lasts Forever - A Theory of Inheritance - The Dynamic Effects of Fiscal Policy in an Economy with Foresight - Consumption Taxes versus Income Taxes: Implications for Economic Growth - Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence - The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households (with Frederic S. Mishkin) - Intertemporal Substitution in Consumption - Survey of Research on the Random Walk of Consumption - The Role of Consumption in Economic Fluctuations
Author | : William A. Barnett |
Publisher | : Cambridge University Press |
Total Pages | : 512 |
Release | : 1991-06-28 |
Genre | : Business & Economics |
ISBN | : 9780521424318 |
Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.
Author | : Laszlo Matyas |
Publisher | : Cambridge University Press |
Total Pages | : 332 |
Release | : 1999-04-13 |
Genre | : Business & Economics |
ISBN | : 9780521669672 |
The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Author | : R.A. Jarrow |
Publisher | : Elsevier |
Total Pages | : 1204 |
Release | : 1995-12-15 |
Genre | : Business & Economics |
ISBN | : 9780444890849 |
Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Author | : Askar H. Choudhury |
Publisher | : |
Total Pages | : 276 |
Release | : 1990 |
Genre | : Autoregression (Statistics) |
ISBN | : |