544
Views
0
CrossRef citations to date
0
Altmetric
Articles

Nonparametric Specification Testing of Conditional Asset Pricing Models

ORCID Icon, &

References

  • Aït-Sahalia, Y., and Lo, A. W. (1998), “Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices,” The Journal of Finance, 53, 499–547. DOI: 10.1111/0022-1082.215228.
  • Andrews, D. W. K. (1997), “A Conditional Kolmogorov Test,” Econometrica, 48, 1097–1128. DOI: 10.2307/2171880.
  • Antoine, B., Proulx, K., and Renault, E. (2018), “Pseudo-True SDFs in Conditional Asset Pricing Models,” Journal of Financial Econometrics, 1, 1–59. DOI: 10.1093/jjfinec/nby017.
  • Bansal, R., and Viswanathan, S. (1993), “No Arbitrage and Arbitrage Pricing: A New Approach,” Journal of Finance, 48, 1231–1262. DOI: 10.1111/j.1540-6261.1993.tb04753.x.
  • Bradley, R. C. (1986), “Basic Properties of Strong Mixing Conditions,” in Dependence in Probability and Statistics (Oberwolfach, 1985), Progr. Probab. Statist. (Vol. 11), eds. E. Eberlein and M.S. Taqqu, Boston, MA: Birkhäuser, pp. 165–192.
  • Bryzgalova, S. (2016), “Spurious Factors in Linear Asset Pricing Models,” Stanford University manuscript.
  • Burnside, C. (2016), “Identification and Inference in Linear Stochastic Discount Factor Models With Excess Returns,” Journal of Financial Econometrics, 14, 295–330. DOI: 10.1093/jjfinec/nbv018.
  • Cai, Z., Ren, Y., and Sun, L. (2015), “Pricing Kernel Estimation: A Local Estimating Equation Approach,” Econometric Theory, 31, 560–580. DOI: 10.1017/S0266466614000589.
  • Campbell, J. Y., and Cochrane, J. H. (1999), “By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,” Journal of Political Economy, 107, 205–251. DOI: 10.1086/250059.
  • Cochrane, J. H. (2005), Asset Pricing, Princeton, NJ: Princeton University Press.
  • Doukhan, P. (1994). Mixing: Properties and Examples, Lecture Notes in Statistics (Vol. 85), New York: Springer-Verlag.
  • Fama, E., and French, K. (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33, 3–56. DOI: 10.1016/0304-405X(93)90023-5.
  • Fama, E., and French, K. (2015), “A Five-Factor Asset Pricing Model,” Journal of Financial Economics, 116, 1–22.
  • Fan, J., and Gijbels, I. (1995), Local Polynomial Modelling and Its Applications, London: Chapman & Hall.
  • Fan, J., and Li, Q. (1999), “Central Limit Theorem for Degenerate U-Statistics of Absolutely Regular Processes With Applications to Model Specification Testing,” Journal of Nonparametric Statistics, 10, 245–271. DOI: 10.1080/10485259908832762.
  • Gagliardini, P., Gourieroux, C., and Renault, E. (2011), “Efficient Derivative Pricing by the Extended Method of Moments,” Econometrica, 79, 1181–1232.
  • Gagliardini, P., and Ronchetti, D. (2020), “Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance,” Journal of Financial Econometrics, 18, 333–394. DOI: 10.1093/jjfinec/nbz013.
  • Gao, J., and Hong, Y. (2008), “Central Limit Theorems for Generalized U-Statistics With Applications in Nonparametric Specification,” Journal of Nonparametric Statistics, 20, 61–76. DOI: 10.1080/10485250801899596.
  • Gospodinov, N., Kan, R., and Robotti, C. (2017), “Spurious Inference in Reduced-Rank Asset-Pricing Models,” Econometrica, 85, 1613–1628. DOI: 10.3982/ECTA13750.
  • Hall, P., and Wilson, S. R. (1991), “Two Guidelines for Bootstrap Hypothesis Testing,” Biometrics, 47, 757–762. DOI: 10.2307/2532163.
  • Hansen, B. E. (2008), “Uniform Convergence Rates for Kernel Estimation with Dependent Data,” Econometric Theory, 24, 726–748. DOI: 10.1017/S0266466608080304.
  • Hansen, L., and Jagannathan, R. (1997), “Assessing Specification Errors in Stochastic Discount Factor Models,” Journal of Finance, 52, 557–590. DOI: 10.1111/j.1540-6261.1997.tb04813.x.
  • Härdle, W., and Mammen, E. (1993), “Comparing Nonparametric Versus Parametric Regression Fits,” Annals of Statistics, 21, 1926–1947.
  • Hart, J. (1997), Nonparametric Smoothing Lack-of-Fit Tests, New York: Springer Verlag.
  • Heinrich, L. (1992), “Bounds for the Absolute Regularity Coefficient of a Stationary Renewal Process,” Yokohama Mathematical Journal, 40, 25–33.
  • Henderson, D., and Sheehan, A. (2018), “Kernel-Based Testing With Skewed and Heavy-Tailed Data:Evidence From a Nonparametric Test for Heteroskedasticity,” Economics Letters, 172, 8–11. DOI: 10.1016/j.econlet.2018.08.007.
  • Hjellvik, V., Yao, Q., and Tjøstheim, D. (1996), “Linearity Testing Using Local Polynomial Approximation,” Sonderforschungsbereich 373, Discussion Paper, 60, Humboldt Universität zu Berlin.
  • Horowitz, J., and Spokoiny, V. (2001), “An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative,” Econometrica, 69, 599–632. DOI: 10.1111/1468-0262.00207.
  • Jagannathan, R., and Wang, Z. (1996), “The Conditional CAPM and the Cross-Section of Expected Returns,” Journal of Finance, 51, 3–53. DOI: 10.1111/j.1540-6261.1996.tb05201.x.
  • Kan, R., and Zhang, C. (1999), “GMM Tests of Stochastic Discount Factor Models With Useless Factors,” Journal of Financial Economics, 54, 103–127. DOI: 10.1016/S0304-405X(99)00033-1.
  • Kleibergen, F., and Zhan, Z. (2020), “Robust Inference for Consumption-Based Asset Pricing,” The Journal of Finance, 75, 507–550. DOI: 10.1111/jofi.12855.
  • Kozak, S., Nagel, S., and Santosh, S. (2020), “Shrinking the Cross-Section,” Journal of Financial Economics, 135, 271–292. DOI: 10.1016/j.jfineco.2019.06.008.
  • Kreiss, J.-P., Neumann, M. H., and Yao, Q. (2008), “Bootstrap Tests for Simple Structures in Nonparametric Time Series Regression,” Statistics And Its Interface, 1, 367–380. DOI: 10.4310/SII.2008.v1.n2.a13.
  • Lettau, M., and S. Ludvigson (2001a), “Consumption, Aggregate Wealth, and Expected Stock Returns,” Journal of Finance, 56, 815–849. DOI: 10.1111/0022-1082.00347.
  • Lettau, M., and S. Ludvigson (2001b), “Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia are Time-Varying,” Journal of Political Economy, 109, 1238–1287.
  • Lewellen, J., and Nagel, S. (2006), “The Conditional CAPM Does Not Explain Asset-Pricing Anomalies,” Journal of Financial Economics, 82, 289–314. DOI: 10.1016/j.jfineco.2005.05.012.
  • Masry, E. (1996), “Multivariate Local Polynomial Regression for Time Series: Uniform Strong Consistency Rate,” Journal of Time Series Analysis, 17, 571–599. DOI: 10.1111/j.1467-9892.1996.tb00294.x.
  • Nagel, S., and Singleton, K. (2011), “Estimation and Evaluation of Conditional Asset Pricing Models,” Journal of Finance, 66, 873–909. DOI: 10.1111/j.1540-6261.2011.01654.x.
  • Peñaranda, F., and Sentana, E. (2015), “A Unifying Approach to the Empirical Evaluation of Asset Pricing Models,” Review of Economics and Statistics, 97, 412–435. DOI: 10.1162/REST_a_00474.
  • Rodriguez-Poo, J. M., Sperlich, S., and Vieu, P. (2015), “Specification Testing When the Null is Nonparametric or Semiparametric,” Econometric Theory, 31, 1281–1309. DOI: 10.1017/S0266466614000504.
  • Rosenberg, J. V., and Engle, R. F. (2002), “Empirical Pricing Kernels,” Journal of Financial Economics, 64, 341–372. DOI: 10.1016/S0304-405X(02)00128-9.
  • Roussanov, N. (2014), “Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns,” Journal of Financial Economics, 111, 352–380. DOI: 10.1016/j.jfineco.2013.10.010.
  • Sperlich, S. (2014), “On the Choice of Regularization Parameters in Specification Testing: A Critical Discussion,” Empirical Economics, 47, 427–450. DOI: 10.1007/s00181-013-0752-z.
  • Veretennikov, A. Y. (1987), “Estimates of the Mixing Rate for Stochastic Equations,” Teor. Veroyatnost. i Primenen, 32, 299–308.
  • Wang, K. (2003), “Asset Pricing With Conditioning Information: A New Test,” Journal of Finance, 58, 161–196. DOI: 10.1111/1540-6261.00521.
  • Yin, J., Geng, Z., Li, R., and Wang, H. (2010), “Nonparametric Covariance Model,” Statistica Sinica, 20, 469–479.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.