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dc.contributor.author Burnside, C
dc.date.accessioned 2010-03-09T15:28:04Z
dc.date.issued 1994-01-01
dc.identifier.citation Journal of Business and Economic Statistics, 1994, 12 (1), pp. 57 - 79
dc.identifier.issn 0735-0015
dc.identifier.uri http://hdl.handle.net/10161/1884
dc.description.abstract In this article, tests of the implications of consumption-based asset-pricing models are developed. Four of these tests are based on variance bounds for intertemporal marginal rates of substitution introduced by Hansen and Jagannathan. The tests provide one means of quantifying the effects of sampling error when the bounds are used as a diagnostic device. The tests are used to construct confidence regions for the parameters of an asset-pricing model using U.S. data. Monte Carlo simulation is used to determine the small-sample properties of the tests. © 1994 American Statistical Association.
dc.format.extent 57 - 79
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Business and Economic Statistics
dc.relation.isversionof 10.1080/07350015.1994.10509991
dc.title Hansen-jagarsnathan bounds as classical tests of asset-pricing models
dc.type Journal Article
dc.department Economics
dc.relation.journal Journal of Business & Economic Statistics
pubs.issue 1
pubs.organisational-group /Duke
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 12
dc.identifier.eissn 1537-2707

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