You are not currently logged in.
Access JSTOR through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
Lars Peter Hansen and Kenneth J. Singleton
Journal of Political Economy
Vol. 91, No. 2 (Apr., 1983), pp. 249-265
Published by: The University of Chicago Press
Stable URL: http://www.jstor.org/stable/1832056
Page Count: 17
You can always find the topics here!Topics: Consumption, Statistical models, Risk aversion, Consumer assets, Consumer economics, Economic models, Political economy, Logarithms, Maximum likelihood estimation, Statistical estimation
Were these topics helpful?See something inaccurate? Let us know!
Select the topics that are inaccurate.
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
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.
Journal of Political Economy © 1983 The University of Chicago Press