Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Presentation :

We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family of convex functions that take into account higher moments of asset returns. The Minimum Discrepancy problems are solved on dual spaces producing a family of estimators that captures the least-square problem as a particular case. We derive the asymptotic distributions of the estimators for the Cressie Read family of discrepancies, and illustrate their use with an assessment of the Consumption Asset Pricing Model.