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Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

Lars Peter Hansen; Kenneth J. Singleton
Journal of Political Economy 1983 91(2), 249-265
This paper studies the time-series behavior of asset returns and aggregate consumption. Using a representative consumer model and imposing restrictions on preferences and the joint distribution of consumption and returns, we deduce a restricted log-linear time-series representation. Preference parameters for the representative agent are estimated and the implied restrictions are tested using postwar data.

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

Lars Peter Hansen; Kenneth J. Singleton
Journal of Political Economy 1983 91(2), 249-265
This paper studies the time-series behavior of asset returns and aggregate consumption. Using a representative consumer model and imposing restrictions on preferences and the joint distribution of consumption and returns, we deduce a restricted log-linear time-series representation. Preference parameters for the representative agent are estimated and the implied restrictions are tested using postwar data.

The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities

Lars Peter Hansen; Thomas J. Sargent
Econometrica 1983 51(2), 377
This paper reconsiders the aliasing problem of identifying the parameters of a continuous time stochastic process from discrete time data. It analyzes the extent to which restricting attention to processes with rational spectral density matrices reduces the number of observationally equivalent models. It focuses on rational specifications of spectral density matrices since rational parameterizations are commonly employed in the analysis of the time series data.