We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation...

The consumption based capital asset pricing model is evaluated using Hansen and Jagannathan (1991) bounds and 68 years of annual UK data. In contrast to the standard statistical methodology, the Hansen-Jagannathan methodology is fully non-parametric and based on only one principle from economic...