Download This PaperOn Testing Theories of Financial Intermediary Portfolio Selection
Review of Economic Studies, Vol. 47, No. 5, 1980
14 Pages Posted: 8 Mar 2012 Last revised: 6 Nov 2012
Date Written: 1977
Abstract
We generalize the stochastic specification to account for first-order vector autocorrelation in the system of portfolio demand equations and test for the validity of the "no autocorrelation" restrictions, in addition to the restricitions on the demand system implied by theory. When testing for the significance of individual parameters or for the empirical validity of more general theorectical restrictions, one must be aware of the the fact that test results may depend critically on the generality and reliability of the maintained hypothesis.
Keywords: financial intermediary portfolios, FIML estimation, auxilliary assumptions
JEL Classification: G21, C52, C12
Suggested Citation: Suggested Citation
Ernst R. Berndt
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
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Thomas H. McCurdy (Contact Author)
University of Toronto - Rotman School of Management ( email )
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