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dc.contributor.author McElroy, MB
dc.contributor.author Burmeister, E
dc.date.accessioned 2010-03-09T15:27:57Z
dc.date.issued 1988-01-01
dc.identifier.citation Journal of Business and Economic Statistics, 1988, 6 (1), pp. 29 - 42
dc.identifier.issn 0735-0015
dc.identifier.uri http://hdl.handle.net/10161/1880
dc.description.abstract By replacing the unknown random factors of factor analysis with observed macroeconomic variables, the arbitrage pricing theory (APT) is recast as a multivariate nonlinear regression model with across-equation restrictions. An explicit theoretical justification for the inclusion of an arbitrary, well-diversified market index is given. Using monthly returns on 70 stocks, iterated nonlinear seemingly unrelated regression techniques are employed to obtain joint estimates of asset sensitivities and their associated APT risk “prices.” Without the assumption oi normally distributed errors, these estimators are strongly consistent and asymptotically normal. With the additional assumption of normal errors, they are also full-information maximum likelihood estimators. Classical asymptotic nonlinear nested hypothesis tests are supportive of the APT with measured macroeconomic factors. © 1988 American Statistical Association.
dc.format.extent 29 - 42
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Business and Economic Statistics
dc.relation.isversionof 10.1080/07350015.1988.10509634
dc.title Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates
dc.type Journal Article
dc.department Economics
pubs.issue 1
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Sanford School of Public Policy
pubs.organisational-group /Duke/Sanford School of Public Policy/Duke Population Research Institute
pubs.organisational-group /Duke/Sanford School of Public Policy/Duke Population Research Institute/Duke Population Research Center
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 6
dc.identifier.eissn 1537-2707

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