NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

Craig Burnside

NBER Working Paper No. 16634
Issued in December 2010

---- Acknowledgements -----

This is a substantially revised version of an earlier draft entitled “Identification and Inference in Linear Stochastic Discount Factor Models”. I am grateful to Jeremy Graveline, Cosmin Ilut, Shakeeb Khan, Frank Kleibergen, Francisco Peñaranda, Cesare Robotti and three anonymous referees for their comments and suggestions. I am grateful to the National Science Foundation for financial support (SES-0516697). The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.

return to bibliography page

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us