Inforamtion criteria for moment restriction models : an application of empirical cressie-read estimator for CCAPM

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Note (General)：: type:textWe show nonexistence of the well known risk free rate puzzle in the Japanese financial markets. The result crucially depends on our accurate ...

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Material Type: 文書・図像類
Title: Inforamtion criteria for moment restriction models : an application of empirical cressie-read estimator for CCAPM
Author/Editor: 伊藤, 幹夫
野田, 顕彦
Author Heading: 伊藤, 幹夫
野田, 顕彦
Publication, Distribution, etc.: Keio Economic Society, Keio University
Publication Date: 2010
Publication Date (W3CDTF): 2010
Periodical title: Keio Economic Society discussion paper series
No. or year of volume/issue: 10 1
Volume: 10
Issue: 1
Text Language Code: eng
Subject Heading: Risk free rate puzzle,GEL,GMM,Information criterion,Weak identification,CCAPM
Target Audience: 一般
Note (General): type:text
We show nonexistence of the well known risk free rate puzzle in the Japanese financial markets. The result crucially depends on our accurate estimates of the two basic parameters of the discount factor and the degree of risk aversion appeared in a typical CCAPM. We estimate the parameters by the method recently developed, the generalized empirical likelihood estimation and by selecting instruments appropriately with a new information criterion.
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Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
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Original Data Provider (Database): 慶應義塾大学 : 慶應義塾大学学術情報リポジトリ