Hansen–Jagannathan Bounds as Classical Tests of Asset-Pricing Models
基于Hansen和Jagannathan提出的方差边界，开发了四种检验消费基础资产定价模型的方法，并用美国数据构建参数置信区域，通过蒙特卡洛模拟考察小样本性质。
Abstract In this article, tests of the implications of consumption-based asset-pricing models are developed. Four of these tests are based on variance bounds for intertemporal marginal rates of substitution introduced by Hansen and Jagannathan. The tests provide one means of quantifying the effects of sampling error when the bounds are used as a diagnostic device. The tests are used to construct confidence regions for the parameters of an asset-pricing model using U.S. data. Monte Carlo simulation is used to determine the small-sample properties of the tests. KEY WORDS: Confidence regionsGeneralized method of momentsMonte Carlo simulationVolatility bounds