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The consumption based asset pricing model: A note on potential tests and applications

✍ Scribed by Bradford Cornell

Book ID
116126548
Publisher
Elsevier Science
Year
1981
Tongue
English
Weight
309 KB
Volume
9
Category
Article
ISSN
0304-405X

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## Abstract In this paper, we propose several finite‐sample specification tests for multivariate linear regressions (MLR). We focus on tests for serial dependence and ARCH effects with possibly non‐Gaussian errors. The tests are based on properly standardized multivariate residuals to ensure invari