The problem addressed in this paper is to test the null hypothesis that a time series process is uncorrelated up to lag K in the presence of statistical dependence. We propose a robust test that is asymptotically distributed as chi-square when the null is true. The test is based on a consistent...

Is the risk aversion parameter in the simple intertemporal consumption CAPM "small" as in Hansen and Singleton (1982,1983), or is it that its reciprocal, the intertemporal elasticity of substitution, is small, as in Hall (1988)? This paper attributes the disparate estimates of this fundamental...