Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models

dc.contributor.author	Burnside, Craig	en_US
dc.date.accessioned	2010-03-09T15:28:04Z
dc.date.available	2010-03-09T15:28:04Z
dc.date.issued	1994	en_US
dc.identifier.citation	Burnside, Craig. Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models. Journal of Business & Economic Statistics. 12.1 (1994): 57-79. Print
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.	en_US
dc.format.extent	938046 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	American Statistical Association
dc.subject	confidence regions	en_US
dc.subject	generalized method of moments	en_US
dc.subject	monte carlo simulation	en_US
dc.subject	volatility bounds	en_US
dc.title	Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models	en_US
dc.type	Journal Article	en_US
dc.department	Economics
dc.relation.journal	Journal of Business & Economic Statistics