Advances in Consumption-Based Asset Pricing: Empirical Tests

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Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence (2012, unknown): “3 This result addresses Ludvigson’s (2013) concern, noted above, that a version of the long-run risks model estimated using macroeconomic data alone would generate even less predictability than the conventional”
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016, methodology): “Finally, we can relate the results of Proposition 4 to bias-corrected estimation accounting for the wellknown incidental parameter problem (Neyman and Scott (1948)) in the panel literature (see Lancaster (2000) for a review).”