Assessing misspecified asset pricing models with empirical likelihood estimators
Almeida, Caio Ibsen Rodrigues de; Garcia, René
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Resumo
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family of convex functions that take into account higher moments of asset returns. The Minimum Discrepancy problems are solved on dual spaces producing a family of estimators that captures the least-square problem as a particular case. We derive the asymptotic distributions of the estimators for the Cressie-Read family of discrepancies, and illustrate their use with an assessment of the Consumption Asset Pricing Model. (C) 2012 Elsevier By. All rights reserved.
Ficha do documento
- Tipo
- Artigo científico
- Ano
- 2012
- Instituição
- Elsevier Science Sa
- Fonte
- Repositório da FGV
- Idioma
- Inglês
- Acesso
- Acesso restrito
- Identificador
- oai:repositorio.fgv.br:10438/23285
- Temas
- Economia
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