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

16 Pages Posted: 26 May 2020 Last revised: 17 Feb 2021

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: February 16, 2021

Abstract

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

Cheng, Xu and Dou, Winston and Liao, Zhipeng, Supplemental Appendix to Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models (February 16, 2021). 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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