On the computation of detection error probabilities under normality assumptions

Masakatsu Okubo

Economics Letters, 2018, vol. 171, issue C, 106-109

Abstract: This note describes a simple method for computing detection error probabilities under log-consumption models with i.i.d. Gaussian errors. The method is applicable to a class of models widely used in the literature, including the random walk, trend-stationary, long-run risk, and idiosyncratic risk models.

Keywords: Asset pricing; Detection error probability; Model misspecification; Multiplier preferences (search for similar items in EconPapers)
JEL-codes: D81 E21 G12 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:171:y:2018:i:c:p:106-109

DOI: 10.1016/j.econlet.2018.07.014

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