Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors

Lars Hansen and Kenneth Singleton

Journal of Business & Economic Statistics, 1996, vol. 14, issue 1, 53-68

Abstract: This paper studies alternative methods for estimating parameters from multiperiod conditional moment restrictions. The authors' discussion is couched in the context of a multivariate linear time series model and they use the log-linear intertemporal asset pricing model as a prototype when comparing alternative econometric methods. They propose a generalized method of moments estimator that is scale invariant and is asymptotically equivalent to one used previously in empirical work on asset pricing. The authors then show how to improve the efficiency of this estimator. Finally, they apply these methods in an empirical investigation of the log-linear intertemporal asset pricing model.

Date: 1996
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Working Paper: Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors (1997)
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