A. Abel. Asset prices under habit formation and catching up with the joneses. American Economic Review, 80(2):38–42, 1990. URL http://EconPapers.repec.org/ RePEc:aea:aecrev:v:80:y:1990:i:2:p:38-42.
A. Holly, A. Monfort, and M. Rockinger. Fourth order pseudo maximum likelihood methods. Journal of Econometrics, 162(2):278–293, June 2011. URL https: //ideas.repec.org/a/eee/econom/v162y2011i2p278-293.html.
C. Burnside. Solving asset pricing models with gaussian shocks. Journal of Economic Dynamics and Control, 22(3):329 – 340, 1998. ISSN 0165-1889. doi: http:// dx.doi.org/10.1016/S0165-1889(97)00075-4. URL http://www.sciencedirect. com/science/article/pii/S0165188997000754.
C. Julliard and A. Ghosh. Can rare events explain the equity premium puzzle? Review of Financial Studies, 2012. doi: 10.1093/rfs/hhs078. URL http://rfs. oxfordjournals.org/content/early/2012/09/01/rfs.hhs078.abstract. F. Kleibergen. Testing parameters in gmm without assuming that they are identified.
- D. D. Creal and J. C. Wu. Bond risk premia in consumption-based models. Working paper, 4 2015.
Paper not yet in RePEc: Add citation now
D. W. Andrews and X. Cheng. Gmm estimation and uniform subvector inference with possible identification failure. Econometric Theory, 30:287–333, 4 2014.
D. W. K. Andrews and X. Cheng. Estimation and inference with weak, semi-strong, and strong identification. Econometrica, 80(5):2153–2211, 2012. ISSN 1468-0262. doi: 10.3982/ECTA9456. URL http://dx.doi.org/10.3982/ECTA9456.
D. W. K. Andrews. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59(3):pp. 817–858, 1991. ISSN 00129682. URL http://www.jstor.org/stable/2938229.
D. Wilcox. The construction of u.s. consumption data: Some facts and their implications for empirical work. American Economic Review, 82(4):922–41, 1992. URL http://EconPapers.repec.org/RePEc:aea:aecrev:v:82:y:1992: i:4:p:922-41.
E. F. Fama and K. R. French. Dividend yields and expected stock returns. Journal of Financial Economics, 22(1):3 – 25, 1988. ISSN 0304-405X. doi: http://dx.
- Econometrica, 73(4):1103–1123, 2005. ISSN 1468-0262. doi: 10.1111/j.1468-0262. 2005.00610.x. URL http://dx.doi.org/10.1111/j.1468-0262.2005.00610.x. F. Kleibergen and S. Mavroeidis. Inference on subsets of parameters in gmm without assuming identification. 2009.
Paper not yet in RePEc: Add citation now
F. Schorfheide, D. Song, and A. Yaron. Identifying long-run risks: A bayesian mixed-frequency approach. (20303), July 2014. doi: 10.3386/w20303. URL http: //www.nber.org/papers/w20303.
G. Constantinides. Habit formation: a resolution of the equity premium puzzle. 1990. URL http://EconPapers.repec.org/RePEc:cla:levarc:1397.
G. M. Constantinides and A. Ghosh. Asset pricing tests with long-run risks in consumption growth. Review of Asset Pricing Studies, 1(1):96–136, 2011. doi: 10.1093/rapstu/rar004. URL http://raps.oxfordjournals.org/content/1/1/ 96.abstract.
- I. Ghattassi and N. Meddahi. Time-aggregation effects on estimating asset pricing models. Working paper, 2012. URL http://neeo.univ-tlse1.fr/3450/. L. Hansen. Large sample properties of generalized method of moments estimators.
Paper not yet in RePEc: Add citation now
In R. F. Engle and D. McFadden, editors, Handbook of Econometrics, volume 4 of Handbook of Econometrics, chapter 36, pages 2111–2245. Elsevier, 1986. URL http://ideas.repec.org/h/eee/ecochp/4-36.html.
- J. A. Nelder and R. Mead. A simplex method for function minimization. Computer Journal, 7(4):308–313, 1965.
Paper not yet in RePEc: Add citation now
J. A. Wachter. Can time-varying risk of rare disasters explain aggregate stock market volatility? The Journal of Finance, 68(3):987–1035, 2013. ISSN 1540-6261. doi: 10.1111/jofi.12018. URL http://dx.doi.org/10.1111/jofi.12018.
J. Beeler and J. Y. Campbell. Appendix for "the long-run risks model and aggregate asset prices: An empirical assessment". Critical Finance Review, 2012.
- J. Cochrane. ASSET PRICING Revisited Edition. Princeton University Press, 41 William street Princeton, New Jersey 08540, 2001.
Paper not yet in RePEc: Add citation now
J. H. Cochrane and J. Campbell. By force of habit: A consumption-based explanation of aggregate stock market behavior. (3119444), 1999. URL http: //ideas.repec.org/p/hrv/faseco/3119444.html.
J. H. Stock and J. H. Wright. Gmm with weak identification. Econometrica, 68(5): 1055–1096, 2000. ISSN 1468-0262. doi: 10.1111/1468-0262.00151. URL http: //dx.doi.org/10.1111/1468-0262.00151.
J. Stock, M. Yogo, and J. Wright. A survey of weak instruments and weak identification in generalized method of moments. Journal of Business and Economic Statistics, 20:518 – 529, 2002.
J. Y. Campbell and R. J. Shiller. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1:195–228, 1988. doi: 10.1093/rfs/1.3.195.
- J.-m. Dufour. Comments on âweak instrument robust tests in gmm and the new keynesian phillips curveâ by f. kleibergen and s. mavroeidis. Journal of Business & Economic Statistics, 27(3):318–321, 2009.
Paper not yet in RePEc: Add citation now
L. E. Calvet and V. Czellar. Through the looking glass: Indirect inference via simple equilibria. Journal of Econometrics, 185(2):343 – 358, 2015. ISSN 03044076.
L. G. Epstein and S. E. Zin. Substitution, Risk A version, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework, volume 57. July 1989. URL http://www.jstor.org/stable/1913778.
L. Hansen, J. Heaton, and A. Yaron. Finite-sample properties of some alternative gmm estimators. Journal of Business Economic Statistics, 14(3):262–80, 1996. URL http://EconPapers.repec.org/RePEc:bes:jnlbes:v:14:y:1996: i:3:p:262-80.
O. de Groot. Solving asset pricing models with stochastic volatility. Journal of Economic Dynamics and Control, 52:308 – 321, 2015. ISSN 0165-1889. doi: http:// dx.doi.org/10.1016/j.jedc.2015.01.001. URL http://www.sciencedirect.com/ science/article/pii/S0165188915000020. J.-m. Dufour. Identification, weak instruments, and statistical inference in econometrics.
R. Bansal and A. Yaron. Risks for the long run: A potential resolution of asset pricing puzzles. The Journal of Finance, 59(4):1481–1509, 2004. ISSN 1540-6261.
- R. Bansal, A. R. Gallant, and G. Tauchen. Rational pessimism, rational exuberance, and asset pricing models. (13107), May 2007a. doi: 10.3386/w13107. URL http://www.nber.org/papers/w13107. R. Bansal, D. Kiku, and A. Yaron. Risks for the long run: Estimation and inference.
Paper not yet in RePEc: Add citation now
- R. Bansal, D. Kiku, and A. Yaron. An empirical evaluation of the long-run risks model for asset prices. Critical Finance Review, 1(1):183–221, 2012a. ISSN 2164-5744. doi: 10.1561/104.00000005. URL http://dx.doi.org/10.1561/104. 00000005. R. Bansal, D. Kiku, and A. Yaron. Risks for the long run: Estimation with time aggregation.
Paper not yet in RePEc: Add citation now
- R. Garcia, N. Meddahi, and R. TÃ c dongap. An analytical framework for assessing asset pricing models and predictability. Unpublished Paper, Edhec Business School, Imperial College London, and Stockholm School of Economics, 2008. ISSN 0165-1889. doi: http://dx.doi.org/10.2139/ssrn.1109080. URL http://ssrn.com/abstract=1109080.
Paper not yet in RePEc: Add citation now
R. J. Barro. Rare disasters and asset markets in the twentieth century. The Quarterly Journal of Economics, 121(3):823–866, 2006. doi: 10.1162/qjec.121.3.823. URL http://qje.oxfordjournals.org/content/121/3/823.abstract.
R. J. Barro. Rare disasters, asset prices, and welfare costs. American Economic Review, 99(1):243–64, 2009. doi: 10.1257/aer.99.1.243. URL http: //www.aeaweb.org/articles.php?doi=10.1257/aer.99.1.243.
R. J. Hodrick. Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Review of Financial studies, 5(3):357–386, 1992.
R. Mehra. The Equity Premium: Why is it a Puzzle? NBER Working Papers 9512, National Bureau of Economic Research, Inc, Feb. 2003. URL http://ideas. repec.org/p/nbr/nberwo/9512.html.
T. A. Rietz. The equity risk premium a solution. Journal of Monetary Economics, 22(1):117 – 131, 1988. ISSN 0304-3932. doi: 10.1016/0304-3932(88)90172-9. URL http://www.sciencedirect.com/science/article/pii/0304393288901729.
W. K. Newey and K. D. West. Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, 61(4):631–53, October 1994. URL http: //ideas.repec.org/a/bla/restud/v61y1994i4p631-53.html.
W. Newey and K. West. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3):703–08, 1987. URL http://EconPapers.repec.org/RePEc:ecm:emetrp:v:55:y:1987: i:3:p:703-08. W. K. Newey and D. McFadden. Large sample estimation and hypothesis testing.
- Working Paper 18305, National Bureau of Economic Research, August 2012b. URL http://www.nber.org/papers/w18305.
Paper not yet in RePEc: Add citation now