Supplemental Appendix to Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

24 Pages Posted: 26 May 2020

See all articles by Xu Cheng

Xu Cheng

University of Pennsylvania - Department of Economics

Winston Dou

The Wharton School, University of Pennsylvania

Zhipeng Liao

University of California, Los Angeles (UCLA) - Department of Economics

Date Written: May 24, 2020

Abstract

This supplemental appendix contains additional technical details of Cheng, Dou, and Liao (2020). Section SA provides the proofs of several lemmas on the asymptotic convergence of the random components in the test statistic T and the conditional critical value. Section SB verifies the bounded Lipschitz properties of the test statistic and the conditional critical value, which are used to show their weak convergence in large sample. Section SC includes some auxiliary lemmas. Section SD derives the Euler equations that serve as the asset pricing moments in the long-run risk model and the disaster risk model. Section SE considers the long-run risk model and shows that the Gaussian limit is an innocuous assumption.

The full-text version of this paper can be found at: https://ssrn.com/abstract=3609627.

Keywords: Asset Pricing, Conditional Inference, Disaster Risk, Long-Run Risk, Factor Models, Specification Test, Weak Identification

JEL Classification: C12, C32, C52, G12.

Suggested Citation

Cheng, Xu and Dou, Winston and Liao, Zhipeng, Supplemental Appendix to Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models (May 24, 2020). Available at SSRN: https://ssrn.com/abstract=3609598 or http://dx.doi.org/10.2139/ssrn.3609598

Xu Cheng (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States

HOME PAGE: http://www.sas.upenn.edu/~xucheng/

Winston Dou

The Wharton School, University of Pennsylvania ( email )

2318 Steinberg Hall - Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104
United States

Zhipeng Liao

University of California, Los Angeles (UCLA) - Department of Economics ( email )

8283 Bunche Hall
Los Angeles, CA 90095-1477
United States

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