{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:04:32Z","timestamp":1762520672433},"reference-count":23,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2002,4,18]],"date-time":"2002-04-18T00:00:00Z","timestamp":1019088000000},"content-version":"vor","delay-in-days":48,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2002,3]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>We use recent statistical tests, based on a \u2018distance\u2019 between the model and the Hansen\u2013Jagannathan bound, to compute the rejection rates of <jats:italic>true<\/jats:italic> models. For asset\u2010pricing models with time\u2010separable preferences, the finite\u2010sample distribution of the test statistic associated with the <jats:italic>risk\u2010neutral<\/jats:italic> case is extreme, in the sense that critical values based on this distribution deliver type I errors no larger than intended\u2014regardless of risk aversion or the rate of time preference. We also show that these maximal\u2010type\u2010I\u2010error critical values are appropriate for both time and state non\u2010separable preferences and that they yield acceptably small type II error rates. Copyright \u00a9 2002 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.640","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T23:24:15Z","timestamp":1030317855000},"page":"149-174","source":"Crossref","is-referenced-by-count":9,"title":["Evaluating asset\u2010pricing models using the Hansen\u2013Jagannathan bound: a Monte Carlo investigation"],"prefix":"10.1002","volume":"17","author":[{"given":"Christopher","family":"Otrok","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"B.","family":"Ravikumar","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Charles H.","family":"Whiteman","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2002,4,18]]},"reference":[{"key":"e_1_2_12_2_1","first-page":"38","article-title":"Asset pricing under habit formation and catching up with the Joneses","volume":"80","author":"Abel AB","year":"1990","journal-title":"American Economic Review"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(98)00039-7"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1994.10509991"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/250059"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04423.x"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.3386\/w4088"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/261693"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913778"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/261750"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(92)90068-A"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.2.237"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/261749"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04813.x"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911873"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171913"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913837"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(85)90061-3"},{"key":"e_1_2_12_20_1","article-title":"Habit formation: a resolution of the equity premium puzzle? 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