On Testing Theories of Financial Intermediary Portfolio Selection

Review of Economic Studies, Vol. 47, No. 5, 1980

14 Pages Posted: 8 Mar 2012 Last revised: 6 Nov 2012

See all articles by Ernst R. Berndt

Ernst R. Berndt

Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER)

Thomas H. McCurdy

University of Toronto - Rotman School of Management

David Rose

International Monetary Fund (IMF)

Date Written: 1977

Abstract

We generalize the stochastic specification to account for first-order vector autocorrelation in the system of portfolio demand equations and test for the validity of the "no autocorrelation" restrictions, in addition to the restricitions on the demand system implied by theory. When testing for the significance of individual parameters or for the empirical validity of more general theorectical restrictions, one must be aware of the the fact that test results may depend critically on the generality and reliability of the maintained hypothesis.

Keywords: financial intermediary portfolios, FIML estimation, auxilliary assumptions

JEL Classification: G21, C52, C12

Suggested Citation

Berndt, Ernst R. and McCurdy, Thomas H. and Rose, David, On Testing Theories of Financial Intermediary Portfolio Selection (1977). Review of Economic Studies, Vol. 47, No. 5, 1980, Available at SSRN: https://ssrn.com/abstract=2013424

Ernst R. Berndt

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

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National Bureau of Economic Research (NBER)

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Thomas H. McCurdy (Contact Author)

University of Toronto - Rotman School of Management ( email )

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Canada
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HOME PAGE: http://www-2.rotman.utoronto.ca/~tmccurdy

David Rose

International Monetary Fund (IMF)

700 19th Street, N.W.
Washington, DC 20431
United States

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