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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.