Nonparametric Specification Testing of Conditional Asset Pricing Models
提出一种自适应综合设定检验，用于检验随机贴现因子在定价因子中条件线性的资产定价模型，该检验对函数形式误设稳健，并能检测定价误差与条件变量之间的关系。
This article presents an adaptive omnibus specification test of asset pricing models where the stochastic discount factor is conditionally affine in the pricing factors. These models provide constraints that conditional moments of returns and pricing factors must satisfy, but most of them do not provide information on the functional form of those moments. Our test is robust to functional form misspecification, and also detects any relationship between pricing errors and conditioning variables. We give special emphasis to the test implementation and calibration, and extensive simulation studies prove the functioning in practice. Our empirical applications show a conditional counterpart of a well-known problem of unconditional models. The lack of rejection of consumption based conditional models seems to be due to a poor conditional correlation between consumption and stock returns.