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To illustrate this, we generate asset returns and consumption data from an incomplete\u2010market dynamic general equilibrium model that is analytically solvable and exhibits power laws in consumption. Monte Carlo experiments suggest that the standard GMM estimation is inconsistent and susceptible to Type II errors (incorrect nonrejection of false models). Estimating an overidentified model by dividing agents into age cohorts appears to mitigate Type I and II errors.<\/jats:p>","DOI":"10.1002\/jae.2564","type":"journal-article","created":{"date-parts":[[2017,2,16]],"date-time":"2017-02-16T03:32:37Z","timestamp":1487215957000},"page":"1156-1177","source":"Crossref","is-referenced-by-count":13,"title":["Fat tails and spurious estimation of consumption\u2010based asset pricing models"],"prefix":"10.1002","volume":"32","author":[{"given":"Alexis Akira","family":"Toda","sequence":"first","affiliation":[{"name":"Department of Economics University of California San Diego La Jolla, CA USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kieran James","family":"Walsh","sequence":"additional","affiliation":[{"name":"Darden School of Business University of Virginia Charlottesville, VA USA"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2017,2,15]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1037"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392447"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA9456"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2005.08.021"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2011.05.012"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/648995"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2010.03.001"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA8416"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1365100514000066"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-7152(02)00342-5"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/261297"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/340776"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90016-3"},{"key":"e_1_2_7_15_1","volume-title":"Probability","author":"Breiman L.","year":"1968"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.red.2009.10.006"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(97)00075-4"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbv018"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.2202\/1534-6013.1003"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392448"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00344720"},{"key":"e_1_2_7_22_1","volume-title":"Asset Pricing","author":"Cochrane J. 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