Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
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This paper explores in depth the nature of the conditional moment restrictions implied by log-linear intertemporal capital asset pricing models (ICAPMs) and shows that the generalized instrumental variables (GMM) estimators of these models (as typically implemented in practice) are inefficient. The
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美国国家经济研究局创建时间：
1997-03-01
