Supplemental Appendix to Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
24 Pages Posted: 26 May 2020
Date Written: May 24, 2020
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: Suggested Citation