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Generalized spectral estimation of the consumption-based asset pricing model

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  • Berkowitz, Jeremy
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 104 (2001)
    Issue (Month): 2 (September)
    Pages: 269-288

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    Handle: RePEc:eee:econom:v:104:y:2001:i:2:p:269-288

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    Web page: http://www.elsevier.com/locate/jeconom

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    References

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    1. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998. "Dynamic equilibrium economies: a framework for comparing models and data," Staff Report, Federal Reserve Bank of Minneapolis 243, Federal Reserve Bank of Minneapolis.
    2. Sims, Christopher A., 1993. "Rational expectations modeling with seasonally adjusted data," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 9-19.
    3. Steven N. Durlauf, 1992. "Spectral Based Testing of the Martingale Hypothesis," NBER Technical Working Papers 0090, National Bureau of Economic Research, Inc.
    4. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, . "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 7-89, Wharton School Rodney L. White Center for Financial Research.
    5. Hansen, Lars Peter, 1985. "A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 30(1-2), pages 203-238.
    6. Burnside, Craig, 1994. "Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(1), pages 57-79, January.
    7. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.
    8. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence," NBER Working Papers 2924, National Bureau of Economic Research, Inc.
    9. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
    10. Wheatley, Simon, 1988. "Some tests of the consumption-based asset pricing model," Journal of Monetary Economics, Elsevier, Elsevier, vol. 22(2), pages 193-215, September.
    11. Hansen, Lars Peter & Sargent, Thomas J., 1982. "Instrumental variables procedures for estimating linear rational expectations models," Journal of Monetary Economics, Elsevier, Elsevier, vol. 9(3), pages 263-296.
    12. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
    13. Martin Eichenbaum, 1996. "Some comments on the role of econometrics in economic theory," Economic Perspectives, Federal Reserve Bank of Chicago, issue Jan, pages 22-31.
    14. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1429-45, November.
    15. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1992. "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," NBER Technical Working Papers 0124, National Bureau of Economic Research, Inc.
    16. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 265-296, September.
    17. Hansen, Lars Peter & Sargent, Thomas J., 1993. "Seasonality and approximation errors in rational expectations models," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 21-55.
    18. Watson, Mark W, 1993. "Measures of Fit for Calibrated Models," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 101(6), pages 1011-41, December.
    19. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, Elsevier, vol. 15(2), pages 145-161, March.
    20. Hayashi, Fumio & Sims, Christopher A, 1983. "Nearly Efficient Estimation of Time Series Models with Predetermined, but Not Exogenous, Instruments," Econometrica, Econometric Society, Econometric Society, vol. 51(3), pages 783-98, May.
    21. Andrews, Donald W K, 1987. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers [On Unification of the Asymptotic Theory of Nonlinear Econometric Models]," Econometrica, Econometric Society, Econometric Society, vol. 55(6), pages 1465-71, November.
    22. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
    23. Domowitz, Ian & White, Halbert, 1982. "Misspecified models with dependent observations," Journal of Econometrics, Elsevier, Elsevier, vol. 20(1), pages 35-58, October.
    24. Engle, Robert F, 1980. "Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 391-407, June.
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    Cited by:
    1. Ekaterini Panopoulou & Sarantis Kalyvitis, 2012. "Estimating C-CAPM and the Equity Premium over the Frequency Domain," DEOS Working Papers 1216, Athens University of Economics and Business.
    2. Lawrence J. Christiano & Robert J. Vigfusson, 2001. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Working Paper 0106, Federal Reserve Bank of Cleveland.
    3. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
    4. Luca Sala, 2013. "DSGE models in the frequency domain," Working Papers 504, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
    6. Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series WP2010-053, Boston University - Department of Economics.
    7. Luca Bindelli, 2005. "Testing the New Keynesian Phillips curve: a frequency domain approach," Money Macro and Finance (MMF) Research Group Conference 2005 69, Money Macro and Finance Research Group.

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