Are consumption-based intertemporal capital asset pricing models structural?

DOI10.1016/0304-4076(90)90096-CzbMath0731.62157MaRDI QIDQ808144

Eric Ghysels, Alastair R. Hall

Publication date: 1990

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

zbMATH Keywords

stabilityoveridentifying restrictionsempirical consumption-based asset pricing modelssingle asset returns

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (12)

Estimation and testing of Euler equation models with time-varying reduced-form coefficients ⋮ Changes in seasonal patterns. Are they cyclical? ⋮ Recent developments in the econometrics of structural change ⋮ The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment ⋮ Predictive tests for structural change with unknown breakpoint ⋮ On a test for structural stability of euler conditions parameters estimated via the generalized method of moments estimator: small sample properties ⋮ STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA ⋮ Changes in seasonal patterns ⋮ On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference ⋮ Regression models with mixed sampling frequencies ⋮ Approximate \(p\)-values of predictive tests for structural stability ⋮ Are consumption-based intertemporal capital asset pricing models structural?

Uses Software

• nlmdl

Cites Work

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