Supplemental Appendix to Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
16 Pages Posted: 26 May 2020 Last revised: 17 Feb 2021
Date Written: February 16, 2021
This supplemental appendix provides the following supporting materials. Section SA contains
proofs of the theoretical results in Section 4 of the paper on the size of the new conditional
specification test. Section SB provides additional theoretical results on the power of the new
test. Section SC provides comparison with some power envelopes through simulations. Section
SD collects extra details of the empirical application.
The full-text version of this paper can be found at: https://ssrn.com/abstract=3609627.
Keywords: Structural asset pricing, Conditional inference, Rare disasters, Long-run risk, Weak identification, Model uncertainty.
JEL Classification: C12, C32, C52, G12.
Suggested Citation: Suggested Citation