Comment on Pseudo-True SDFs in Conditional Asset Pricing Models
The Antoine, Proulx and Renault (APR) paper assembles a rich set of results on empirical methods for asset pricing by exploring the impact misspecification and conditioning information have on stochastic discount factor (SDF) models. The SDF formulation of an asset pricing model with conditioning information follows directly from Hansen and Richard (1987). It investigates the impact of using mean square pricing errors as a criterion for model-fitting following Hansen and Jagannathan (HJ) (1997). By design, the HJ approach gives an alternative to generalized method of moments (GMM) estimation for SDF models that is meant to tolerate misspecification and provide more meaningful model comparisons.
Papers by Nagel and Singleton (2011); Fang, Ren, and Yuan (2011); Gagliardini and Ronchetti (2019) and APR explore (a) how to best incorporate conditioning information in ways that are tractable and (b) how to supply inferential procedures that sup- port these methods. These and related contributions are part of an underappreciated but, to my mind, an important research agenda. It is indeed valuable to see the role of conditioning information in econometric implementation treated in a systematic and formal way rather than the common ad hoc implementation that has occurred in many applied papers.
The APR paper covers a lot of ground, and I will only comment on part of it. My discus- sion will revisit a so-called population analysis that underlies the HJ analysis and will provide a complementary perspective. I will not, however, direct any of my comments to their discussion of inferential methods. The more limited scope of my comment is not intended to suggest that the contribution to statistical inference is less important. It happens that I have more to add about the population analysis. The remainder of my comment will be organized around four questions that I pose. My hope is that these questions will help to frame future research in this area. I give my own perspective on all four questions and why they interest me.
Comments on Housing Price Booms and the Current Account
@article{hansen:2011comments,
title={Comments on Housing Price Booms and the Current Account},
author={Hansen, Lars Peter},
year={2011}
}
✕ Discussion of: Financial Markets and the Real Economy
Comment on Exotic Preferences for Macroeconomics
@article{backus2004exotic,
title={Exotic Preferences for Macroeconomists},
author={Backus, David K and Routledge, Bryan R and Zin, Stanley E},
journal={NBER Macroeconomics Annual},
volume={19},
pages={319--390},
year={2004},
publisher={MIT Press}
}
✕ Statistical Properties of Generalized Method of Moments Estimators of Structural Parameters Obtained From Financial Market Data – Comment
@article{hansen1986statistical,
title={[Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]: Comment},
author={Hansen, Lars Peter},
journal={Journal of Business & Economic Statistics},
volume={4},
number={4},
pages={418--421},
year={1986},
publisher={JSTOR}
}
✕ Consumption, Asset Markets, and Macroeconomic Fluctuations – A Comment
@inproceedings{hansen1982consumption,
title={Consumption, Asset Markets, and Macroeconomic Fluctuations: A Comment},
author={Hansen, Lars Peter},
booktitle={Carnegie-Rochester Conference Series on Public Policy},
volume={17},
pages={239--250},
year={1982},
organization={Elsevier}
}
✕