| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0086 |
| 来源ID | Technical Working Paper 0086 |
| Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors | |
| Lars Peter Hansen; Kenneth J. Singleton | |
| 发表日期 | 1997-03-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Econometrics |
| URL | https://www.nber.org/papers/t0086 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563449 |
| 推荐引用方式 GB/T 7714 | Lars Peter Hansen,Kenneth J. Singleton. Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0086.pdf（342KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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