TY  - JOUR
AU  - Hansen,Lars Peter
AU  - Heaton,John
AU  - Luttmer,Erzo
TI  - Econometric Evaluation of Asset Pricing Models
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 145
PY  - 1993
Y2  - October 1993
UR  - http://www.nber.org/papers/t0145
L1  - http://www.nber.org/papers/t0145.pdf
N1  - Author contact info:
Lars P. Hansen
Department of Economics
The University of Chicago
1126 East 59th Street
Chicago, IL 60637
Tel: 773/702-8170
Fax: 773/702-8490
E-Mail: lhansen@uchicago.edu

John C. Heaton
Booth School of Business
University of Chicago
5807 South Woodlawn Avenue
Chicago, IL 60637
Tel: 773/702-7130
Fax: 773/702-0455
E-Mail: john.heaton@ChicagoBooth.edu

Erzo F.P. Luttmer
6106 Rockefeller Center, Room 305
Department of Economics
Dartmouth College
Hanover, NH 03755
Tel: 603/646-6479
E-Mail: Erzo.FP.Luttmer@Dartmouth.Edu
AB  - In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds.  We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators.  The analysis incorportes market frictions such as short-sale constraints and proportional transactions costs.  Among several applications we show how to use the methods to assess specific asset pricing models and to provide nonparametric characterizations of asset pricing anomalies.
ER  -