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Testing heterogeneous-agent models: an alternative aggregation approach

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Author Info
Balduzzi, Pierluigi
Yao, Tong

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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 54 (2007)
Issue (Month): 2 (March)
Pages: 369-412
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Handle: RePEc:eee:moneco:v:54:y:2007:i:2:p:369-412

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Web page: http://www.elsevier.com/locate/inca/505566

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  1. Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 321307000000000701, UCLA Department of Economics. [Downloadable!]
    Other versions:
  2. Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," Working Paper 2006-10, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  3. Narayana Kocherlakota & Luigi Pistaferri, 2008. "Household Heterogeneity and Asset Trade: Resolving the Equity Premium Puzzle in Three Countries," Levine's Bibliography 122247000000001886, UCLA Department of Economics. [Downloadable!]
  4. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005. [Downloadable!]
  5. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," Working Paper 2005-04, Federal Reserve Bank of Atlanta. [Downloadable!]
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