Hansen, Lars Peter; Heaton, John; Luttmer, Erzo G J - In: Review of Financial Studies 8 (1995) 2, pp. 237-74
In this article 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...
