Authors
Lars Peter Hansen, Kenneth J Singleton
Publication date
1983/4/1
Journal
Journal of political economy
Volume
91
Issue
2
Pages
249-265
Publisher
The University of Chicago Press
Description
This paper studies the time-series behavior of asset returns and aggregate consumption. Using a representative consumer model and imposing restrictions on preferences and the joint distribution of consumption and returns, we deduce a restricted log-linear time-series representation. Preference parameters for the representative agent are estimated and the implied restrictions are tested using postwar data.
Total citations
Scholar articles
LP Hansen, KJ Singleton - Journal of political economy, 1983