ESTIMATING THE ARBITRAGE PRICING THEORY WITH OBSERVED MACRO FACTORS

Authors
ELDER J
Citation
J. Elder, ESTIMATING THE ARBITRAGE PRICING THEORY WITH OBSERVED MACRO FACTORS, Economics letters, 55(2), 1997, pp. 241-246
Citations number
6
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
55
Issue
2
Year of publication
1997
Pages
241 - 246
Database
ISI
SICI code
0165-1765(1997)55:2<241:ETAPTW>2.0.ZU;2-9
Abstract
Analytical results are presented that drastically simplify joint estim ation of the APT by Non-linear SUR and maximum likelihood when the fac tors are measured. Four alternative analytical expressions for calcula ting standard errors are also presented. (C) 1997 Elsevier Science S.A .