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Re: st: GMM in consumption CAPM
From
Luo Di <[email protected]>
To
[email protected]
Subject
Re: st: GMM in consumption CAPM
Date
Wed, 9 Mar 2011 07:41:58 +0000
Yes. Pleases see the following:
Parker, J. and C. Julliard. 2005. Consumption Risk and the
Cross-Section of Expected Returns.
Journal of Political Economy
Yogo, M. 2006 A Consumption-Based Explanation of Expected Stock
Returns. Journal of Finance
Thanks.
Luo Di
On 9 March 2011 00:21, Charles Koss <[email protected]> wrote:
> Could you provide full reference to the papers?
>
> thanks,
>
> Charles
>
>
>
> On Tue, Mar 8, 2011 at 4:05 PM, Luo Di <[email protected]> wrote:
>> Dear all,
>>
>> Have anyone written stata command or ado file to estimate consumption
>> CAPM using GMM method, typically the recent paper of Parker and
>> Julliard (2005) and Yogo (2006)? I want to know how to use stata to
>> implement the method of Parker and Julliard (2005) and Yogo (2006).
>>
>> Thanks.
>>
>> Best Regards,
>> Luo Di
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