Are consumption-based intertemporal capital asset pricing models structural? (English) Zbl 0731.62157
L. P. Hansen and K.J. Singleton [Econometrika 50, 1269-1286 (1982; Zbl 0497.62098)] and K. Dunn and K.J. Singleton [J. Financial Econ. 17, 27-55 (1986)] have found supporting evidence for the overidentifying restrictions of two empirical consumption-based asset pricing models, when estimated with a particular set of single asset returns. We submit these models to further scrutiny by testing whether they exhibit (structural) stability. A series of tests are applied and a test for structural invariance is introduced based on a likelihood ratio type test procedure.
MSC:
| 62P20 | Applications of statistics to economics |
| 91B24 | Microeconomic theory (price theory and economic markets) |
Keywords:
overidentifying restrictions; empirical consumption-based asset pricing models; single asset returns; stabilityCitations:
Zbl 0497.62098Software:
nlmdlReferences:
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