Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns
NBER Working Paper No. 16634
---- 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.