Finite Sample Properties of Tests of the Epstein-Zin Asset Pricing Model

Journal of Econometrics

Posted: 15 Feb 1999

See all articles by David C. Smith

David C. Smith

University of Virginia - McIntire School of Commerce

Multiple version iconThere are 2 versions of this paper

Abstract

I investigate the power of Hansen and Singleton (1982)-type GMM tests to differentiate asset pricing restrictions based on Epstein and Zin (1989) preferences from restrictions formed assuming time and state separable expected utility (TSEU). I find the tests often have little size-adjusted power to reject TSEU, even when I force the difference between the relative risk aversion and inverse intertemporal substitution parameter to be large. Wald test appears to have greater power than likelihood ratio-type tests and use of the Hansen, Heaton and Yaron (1996) continuous-updating estimator improves the power of the tests.

Note: This is a description of the paper and is not the actual abstract.

JEL Classification: C52, G12

Suggested Citation

Smith, David Carl, Finite Sample Properties of Tests of the Epstein-Zin Asset Pricing Model. Journal of Econometrics. Available at SSRN: https://ssrn.com/abstract=140776

David Carl Smith (Contact Author)

University of Virginia - McIntire School of Commerce ( email )

P.O. Box 400173
Charlottesville, VA 22904-4173
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
603
PlumX Metrics