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  • Zongwu Cai (a1), Yu Ren (a2) and Linman Sun (a3)

This paper investigates a general semiparametric stochastic discount factor formulation that avoids functional form misspecification. A new semiparametric estimation procedure is proposed which combines orthogonality conditions and local linear fitting to give a semiparametric generalized estimating equation approach. Asymptotic properties of the estimators are established and we explore the empirical usefulness of the proposed approach to value-weighted stock returns.

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*Address correspondence to Zongwu Cai, Department of Economics, University of Kansas, Lawrence, KS 66045, USA and The Wang Yanan Institute for Studies in Economics and Fujian Key Laboratory of Statistical Science, Xiamen University, Xiamen, Fujian 361005, China; e-mail:
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
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