01855cam a22002537 4500001000600000003000500006005001700011008004100028100002500069245015400094260006600248490004100314500001500355520082800370530006101198538007201259538003601331700002001367700002301387710004201410830007601452856003701528856003601565w1643NBER20180523223104.0180523s1985 mau||||fs|||| 000 0 eng d1 aGrossman, Sanford J.10aEstimating the Continuous Time Consumption Based Asset Pricing Modelh[electronic resource] /cSanford J. Grossman, Angelo Melino, Robert J. Shiller. aCambridge, Mass.bNational Bureau of Economic Researchc1985.1 aNBER working paper seriesvno. w1643 aJune 1985.3 aThe consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between percapita consumption growth and asset returns. Estimation and testingis complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or unit average of the consumption flow is available. In our paper, we show how to estimate the parameters of interest consistently from the available data by maximum likelihood. We estimate the market's degree of relative risk aversion and the instantaneous covariances of asset yields and consumption using six different data sets. We also test the model's overidentifying restrictions. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.1 aMelino, Angelo.1 aShiller, Robert J.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w1643.4 uhttp://www.nber.org/papers/w164341uhttp://dx.doi.org/10.3386/w1643