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Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models

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  • Burnside, Craig

Abstract

In this article, tests of the implications of consumption-based asset-pricing models are developed. Four of these tests are based on variance bounds for intertemporal marginal rates of substitution introduced by L. P. Hansen and R. Jagannathan. The tests provide one means of quantifying the effects of sampling error when the bounds are used as a diagnostic device. The tests are used to construct confidence regions for the parameters of an asset-pricing model using U.S. data. Monte Carlo simulation is used to determine the small-sample properties of the tests.

Suggested Citation

  • Burnside, Craig, 1994. "Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 57-79, January.
    • Handle: RePEc:bes:jnlbes:v:12:y:1994:i:1:p:57-79
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