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Connections between entropic and linear projections in asset pricing estimation

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  • Kitamura, Yuichi
  • Stutzer, Michael
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-44HXDMS-2/2/c09f099cf555d3be7cfab6846a269eea
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 107 (2002)
    Issue (Month): 1-2 (March)
    Pages: 159-174

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    Handle: RePEc:eee:econom:v:107:y:2002:i:1-2:p:159-174

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

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    References

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    1. Imbens, G.W. & Johnson, P. & Spady, R.H., 1995. "Information Theoretic Approaches to Inference in Movement Condition Models," Economics Papers 99, Economics Group, Nuffield College, University of Oxford.
    2. Guido W Imbens, Phillip Johnson & Richard H Spady, . "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford.
    3. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of Security Market Data for Models of Dynamic Economies," NBER Technical Working Papers 0089, National Bureau of Economic Research, Inc.
    4. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    5. Ferson, Wayne E. & Foerster, Stephen R., 1994. "Finite sample properties of the generalized method of moments in tests of conditional asset pricing models," Journal of Financial Economics, Elsevier, vol. 36(1), pages 29-55, August.
    6. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
    7. Stutzer, Michael, 1995. "A Bayesian approach to diagnosis of asset pricing models," Journal of Econometrics, Elsevier, vol. 68(2), pages 367-397, August.
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    Cited by:
    1. Anisha Ghosh & Christian Julliard, 2011. "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers dp691, Financial Markets Group.
    2. Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
    3. Marmer, Vadim & Otsu, Taisuke, 2012. "Optimal comparison of misspecified moment restriction models under a chosen measure of fit," Journal of Econometrics, Elsevier, vol. 170(2), pages 538-550.
    4. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
    5. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
    6. Nikola Gradojevic & Ramazan Gençay, 2009. "Overnight Interest Rates and Aggregate Market Expectations," Working Paper Series 26_09, The Rimini Centre for Economic Analysis.
    7. Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
    8. Grendar, Marian & Judge, George G., 2006. "Large Deviations Theory and Empirical Estimator Choice," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt20n3j23r, Department of Agricultural & Resource Economics, UC Berkeley.
    9. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    10. Govindaraj, Suresh, 2005. "Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities," Finance Research Letters, Elsevier, vol. 2(4), pages 234-247, December.

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