Title of article
Estimating the arbitrage pricing theory with observed macro factors
Author/Authors
Elder، نويسنده , , John ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
6
From page
241
To page
246
Abstract
Analytical results are presented that drastically simplify joint estimation of the APT by Non-linear SUR and maximum likelihood when the factors are measured. Four alternative analytical expressions for calculating standard errors are also presented. © 1997 Elsevier Science S.A.
Keywords
Arbitrage pricing theory , Non-linear seemingly unrelated regressions
Journal title
Economics Letters
Serial Year
1997
Journal title
Economics Letters
Record number
434326
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