Description
One necessary condition for the two-pass risk premium estimator to be consistent and asymptotically normal is that the rank of the beta matrix in a proposed linear asset pricing model is full column. I first investigate the asymptotic properties of the risk premium estimators and the related t-test and Wald test statistics when the full rank condition fails.
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Contributors
- Wang, Na (Author)
- Ahn, Seung C. (Thesis advisor)
- Kallberg, Jarl G. (Committee member)
- Liu, Crocker H. (Committee member)
- Arizona State University (Publisher)
Date Created
The date the item was original created (prior to any relationship with the ASU Digital Repositories.)
2011
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Note
- Partial requirement for: Ph. D., Arizona State University, 2011Note typethesis
- Includes bibliographical references (p. 72-74)Note typebibliography
- Field of study: Economics
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by Na Wang