Finite sample properties of test of Epstein-Zin asset pricing model

DOI10.1016/S0304-4076(99)00006-8zbMath1038.91534OpenAlexW3124010988WikidataQ126573461 ScholiaQ126573461MaRDI QIDQ1808559

David C. Smith

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00006-8

zbMATH Keywords

GMMsmall sample propertiesEpstein-Zin preferencesstatistical power

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Size matters: covariance matrix estimation under the alternative, What do `residuals' from first-order conditions reveal about DGE models?, Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence

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