Generalized spectral estimation of the consumption-based asset pricing model

Journal of Econometrics

Volumn 104, Issue 2, 2001, Pages 269-288

  Berkowitz, Jeremy ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Estimation; Frequency domain; Misspecification

Indexed keywords

EID: 0038334841     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00081-1     Document Type: Article

References (40)

1. Amemiya, T., 1985. Advanced Econometrics. Oxford, Blackwell.
2. Andrews, D.W.K., 1987. Consistency in nonlinear econometric models: a generic uniform law of large numbers. Econometrica 6, 1465-1471.
3. Apostol, T.M., 1974. Mathematical Analysis. Addison-Wesley, Reading, MA.
4. Breeden, D.T., 1979. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7(3), 265-296.
5. Breeden, D.T., Gibbons, M.R., Litzenberger, R.H., 1989. Empirical tests of the consumption-oriented CAPM. Journal of Finance 44(2), 231-262.
6. Brillinger, D.R., 1975. Time Series: Data Analysis and Theory. Holden Day, New York.
7. Burnside, C., 1994. Hansen-Jagannathan bounds as classical tests of asset pricing models. Journal of Business and Economic Statistics 12, 57-59.
8. Campbell, J.Y., Mankiw, N.G., 1990. Consumption, income, and interest rates: reinterpreting the time series evidence. NBER Macroeconomics Annual, 185-216.
9. Campbell, J.Y., Lo, A.W., MacKinlay, A.C., 1997. The Econometrics of Financial Markets. Princeton University Press, Princeton.
10. Canova, F., 1993. Detrending and business cycle facts. CEPR Discussion Paper No. 782.
11. Cecchetti, S., Lam, P., Mark, N., 1994. Testing volatility restrictions on intertemporal marginal rates of substitution implied by Euler equations and asset returns. Journal of Finance 49, 123-152.
12. Cochrane, J., Hansen, L., 1992. Asset pricing explorations for macroeconomics. NBER Macroeconomics Annual 1992. MIT Press, Cambridge, MA, 115-165.
13. Cogley, T., 1995. Estimating dynamic rational expectations models when the trend specification is uncertain, manuscript, Federal Reserve Bank of San Francisco.
14. Diebold, F.X., Ohanian, L.E., Berkowitz, J., 1998. Dynamic equilibrium economies: a framework for comparing models and data. Review of Economic Studies 65, 433-451.
15. Domowitz, I., White, H., 1982. Misspecified models with dependent observations. Journal of Econometrics 20, 35-58.
16. Durlauf, S.N., 1991. Spectral based testing of the Martingale hypothesis. Journal of Econometrics 50, 355-376.
17. Eichenbaum, M., 1996. Some comments on the role of econometrics in economic theory. Economic Perspectives, Federal Reserve Bank of Chicago, pp. 22-31.
18. Engle, R.F., 1974. Band spectrum regression. International Economic Review 15, 1-11.
19. Engle, R.F., 1980. Exact maximum likelihood methods for dynamic regressions and band spectrum regressions. International Economic Review 21, 391-407.
20. Ferson, W., Constantinides, G., 1991. Habit formation and durability in aggregate consumption: empirical tests. Journal of Financial Economics 29, 199-240.
21. Grenander, U., Rosenblatt, M., 1957. Statistical Analysis of Stationary Time Series. Chelsea, New York.
22. Grossman, S.J., Melino, A., Shiller, R.J., 1987. Estimating the continuous time consumption-based capital asset pricing model. Journal of Business and Economic Statistics 5, 327.
23. Hall, P., Hyde, C.C., 1980. Martingale Limit Theory and Its Application. Academic Press, New York.
24. Hannan, E.J., 1963. Regression for time series. In: Rosenblatt, M. (Ed.), Time Series Analysis. Wiley, New York.
25. Hansen, L.P., 1982. Large sample properties of generalized method of moment estimators. Econometrica 50, 1029-1055.
26. Hansen, L.P., Singleton, K.J., 1983. Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of Political Economy 91(2), 249-265.
27. Hansen, L.P., 1985. A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators. Journal of Econometrics 30, 203-238.
28. Hansen, L.P., Sargent, T.J., 1982. Instrumental variables procedures for estimating linear rational expectations models. Journal of Monetary Economics 9, 263-296.
29. Hansen, L.P., Sargent, T.J., 1993. Seasonality and approximation errors in rational expectations models. Journal of Econometrics 55, 21-55.
30. Hansen, L.P., Singleton, K.J., 1996. Efficient estimation of linear asset-pricing models with moving average errors. Journal of Business and Economics Statistics 14(1), 53-68.
31. Harvey, A.C., 1989. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press, Cambridge.
32. Hayashi, F., Sims, C., 1983. Nearly efficient estimation of time series models with predetermined, but not exogenous, instruments. Econometrica 51, 783-798.
33. King, R.G., Watson, M.W., 1995. Money, prices, interest rates and the business cycle. Federal Reserve Bank of Chicago Working Paper No. 95-10.
34. Lucas, R.E., 1978. Asset prices in an exchange economy. Econometrica 46, 1426-1446.
35. Mehra, R., Prescott, E.C., 1985. The equity premium: a puzzle. Journal of Monetary Economics 15(2), 145-161.
36. Priestley, M.B., 1981. Spectral Analysis and Time series. Academic Press, San Diego.
37. Sims, C.A., 1972. Approximate prior restrictions in distributed lag estimation. Journal of the American Statistical Association 67, 169-175.
38. Sims, C.A., 1993. Rational expectations modeling with seasonally adjusted data. Journal of Econometrics 55, 9-19.
39. Watson, M.W., 1993. Measures of fit for calibrated models. Journal of Political Economy 101, 1011-1041.
40. Wheatley, S., 1988. Some tests of the consumption-based asset pricing model. Journal of Monetary Economics 22, 193-215.