Asset Pricing test with GMM

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t_liv
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Joined: Tue Sep 23, 2008 2:42 am

Asset Pricing test with GMM

Postby t_liv » Tue Sep 23, 2008 3:26 am

How can I use eviews to estimate Asset pricing model with GMM method?
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startz
Non-normality and collinearity are NOT problems!
Posts: 3797
Joined: Wed Sep 17, 2008 2:25 pm

Re: Asset Pricing test with GMM

Postby startz » Tue Sep 23, 2008 9:09 am

How can I use eviews to estimate Asset pricing model with GMM method?
You can set up a system which includes the pricing kernel and the asset returns and then use the GMM command to estimate.
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