Estimating a Consumption-Based Asset Pricing Model

sasphd — Fri, 12 Sep 2014 13:06:25 GMT

Can someome explain this example:

SAS/ETS Examples -- Estimating a Consumption-Based Asset Pricing Model

title 'Consumption-Based Asset Pricing Model';

proc model data=harvey;

endogenous conrat;

exogenous gb cb d1 d10 ;

parms beta 1.0 alpha 1.0;

/* set up lags for use as instruments */

lc1 = lag(cinst);

lc2 = lag2(cinst);

lc3 = lag3(cinst);

lc4 = lag4(cinst);

ltb1 = lag(rinst);

ltb2 = lag2(rinst);

ltb3 = lag3(rinst);

ltb4 = lag4(rinst);

/* moment conditions */

eq.h1 = beta * (1+conrat)**(-alpha) * (1+gb) - 1 ;

eq.h2 = beta * (1+conrat)**(-alpha) * (1+cb) - 1 ;

eq.h3 = beta * (1+conrat)**(-alpha) * (1+d1) - 1 ;

eq.h4 = beta * (1+conrat)**(-alpha) * (1+d10) - 1 ;

fit h1-h4 / itgmm kernel=(parzen,1,0);

instruments lc1-lc4 ltb1-ltb4 ;

ods output ParameterEstimates=parms_estimate;

run;

quit;

Re: Estimating a Consumption-Based Asset Pricing Model

ets_kps — Thu, 18 Sep 2014 16:59:29 GMT

Beyond the example itself, what would you like explained? I would refer you to the references for the theoretical underpinning.

The model itself is ITGMM which is a method of consistently estimating parameters in the presence of endogenous regressors. Watch this video for an explanation.

What is Generalized Method of Moments? by Alastair Hall - YouTube

topic Re: Estimating a Consumption-Based Asset Pricing Model in SAS Forecasting and Econometrics

Estimating a Consumption-Based Asset Pricing Model

Re: Estimating a Consumption-Based Asset Pricing Model