Testing Further Restrictions on Portfolio Models

Keith McLaren and Mark R Upcher

Australian Economic Papers, 1986, vol. 25, issue 47, 193-205

Abstract: Further sets of restrictions that can arise from the theory of portfolio models are examined. These are of two major classes: variance-covariance restrictions arising from explicit attention to the introduction of the error term, restrictions on the interest-rate response matrix which have not been fully accounted for in previous studies. Under certain assumptions a "reverse regression" procedure for estimation becomes more appropriate. A hierarchy of restrictions is developed, and estimation and testing are demonstrated using an empirical application. Copyright 1986 by Blackwell Publishers Ltd/University of Adelaide and Flinders University of South Australia

Date: 1986
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