Published On May 5, 2020
Video for Econometrics II course at University of Copenhagen (Department of Economics).
Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen.
We consider GMM estimation of the Consumption Capital Asset Pricing Model, similar to Hansen and Singleton (1982, Econometrica). The estimation is carried out using the GMM Package for OxMetrics.
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