Browsing Duke Faculty Scholarship by Subject "macroeconomic factors"

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Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates

McElroy, Marjorie; Burmeister, Edwin (Journal of Business & Economic Statistics, 1988)

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. ...