Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
处理了基于消费的资产定价模型中，消费数据是时间平均而非瞬时流的问题，展示了如何校正时间平均对协方差的影响，并用六组数据估计参数和检验过度识别约束。
The consumption-based asset-pricing model predicts that excess yields are determined by the market's degree of relative risk aversion and by the covariances of per capita consumption growth with asset returns. Estimation and testing are complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or time average of the consumption flow are available. This article shows how to take account of the effects of time averaging on the covariances. We estimate the model's parameters and test the overidentifying restrictions using six different data sets.