PeƱaranda, Francisco; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2010
Two main approaches are commonly used to empirically evaluate linear factor pricing models: regrassion and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...