Finite sample properties of test of Epstein-Zin asset pricing model
type: Item
instance of: scholarly article
title: Finite sample properties of test of Epstein-Zin asset pricing model
zbMATH Open document ID: 1038.91534
DOI: 10.1016/S0304-4076(99)00006-8
author: David C. Smith
published in: Journal of Econometrics
publication date: 1999-01-01T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1369436
zbMATH Keywords: GMM
zbMATH Keywords: small sample properties
zbMATH Keywords: statistical power
zbMATH Keywords: Epstein-Zin preferences
MaRDI profile type: Publication
cites work: Q3999497
cites work: An intertemporal asset pricing model with stochastic consumption and investment opportunities
cites work: Q4802629
cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
cites work: Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
cites work: An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
cites work: Temporal Resolution of Uncertainty and Dynamic Choice Theory
cites work: Asset Prices in an Exchange Economy
cites work: Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
cites work: Hypothesis Testing with Efficient Method of Moments Estimation
cites work: Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
full work available at URL: s0304-4076(99)00006-8
OpenAlex ID: W3124010988
Wikidata QID: Q126573461
Recommended article: Finite sample multivariate tests of asset pricing models with coskewness
Recommended article: Q4892254
Recommended article: Q4885501
Recommended article: Finite Sample Properties of Estimators for the Optimal Portfolio Weight
Recommended article: Q5290921
Recommended article: Estimation of affine asset pricing models using the empirical characteristic function
Recommended article: A new test on the conditional capital asset pricing model
description: scientific article; zbMATH DE number 1369436