## Abstract We use recent statistical tests, based on a ‘distance’ between the model and the Hansen–Jagannathan bound, to compute the rejection rates of __true__ models. For asset‐pricing models with time‐separable preferences, the finite‐sample distribution of the test statistic associated with th
✦ LIBER ✦
Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models
✍ Scribed by Craig Burnside
- Book ID
- 124648991
- Publisher
- American Statistical Association
- Year
- 1994
- Tongue
- English
- Weight
- 968 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0735-0015
- DOI
- 10.2307/1391924
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The consumption based capital asset pricing model is evaluated using bounds and 68 years of annual UK data. In contrast to the standard statistical methodology, the Hansen -Jagannathan methodology is fully non-parametric and based on only one principle from economic theory, namely the Law of One Pr