Welcome to the course, which is an introduction to cultural or sociocultural anthropology We will have two lectures and one discussion a week Most of the requirements (a final exam, series of six papers adding up to about twenty pages; at least an hour a week of discussion)is set by the MIT Humanities Distribution system
General GMM formula Let y, be an h-vector of variables that are observed at date t, let denote an unknown vector of coefficients, h(e, y,) Be an r-vector real function. Let denote true value of 0, and suppose this true value is
Our task How to estimate and test discount factor model. Ep,=E(m (data 1, parameter)) 1. Bring an asset pricing model to data to estimate free parameters. For example, parameter,yinm=B(c+1/c)-y Or the b in m=b f 2. Evaluate the model, is it a good model or not? Is another model better?
Introduction In this class, we again look at the stock return data, but with a very different view point; Previously, we examined the data through the \eyes\of CAPM. We had a noble intension, although it didn't work very well; Now we are going to get our hands \dirty\, and plunge
Introduction The consumption-based model as a complete answer to most asset pricing question in principle, does not work well in practice; This observation motivates effects to tie the discount factor m to other data; Linear factor pricing models are most popular models of this sort in finance; They dominate discrete-time empirical work
