/* Estimating a Consumption-Based Asset Pricing Model */ data harvey; input date gb cb d1 d10 conrat cinst rinst @@; datalines; 1947.06 -0.00310 0.00062 -0.12675 0.01471 0.017045 0.016256 -0.003672 1947.09 -0.00869 -0.03633 0.06840 -0.01245 -0.001926 -0.025896 -0.040917 1947.12 -0.06751 -0.04553 0.00864 0.00978 -0.018072 -0.007701 -0.016500 1948.03 -0.00421 0.00344 0.03023 -0.02645 -0.001629 0.012736 0.002337 1948.06 -0.00054 -0.01422 0.13383 0.10463 0.005196 -0.012251 -0.025284 1948.09 -0.01100 -0.00777 -0.13444 -0.07535 -0.013959 -0.019869 -0.014344 1948.12 0.02108 0.03133 -0.04471 0.01529 0.005990 0.017017 0.019280 1949.03 0.03512 0.02262 0.05600 0.01774 -0.000507 -0.004825 0.012646 1949.06 0.03453 0.02916 -0.08463 -0.02076 -0.001652 -0.017189 0.001495 1949.09 0.02439 0.02685 0.15334 0.12509 -0.010370 -0.021049 0.002643 1949.12 0.01288 -0.00219 0.15341 0.10326 0.007154 0.013413 0.012539 1950.03 0.00412 0.01401 0.10568 0.04903 0.007602 0.003081 0.005577 1950.06 0.00012 -0.00297 -0.02531 0.03353 0.008199 0.000568 -0.008369 1950.09 -0.02880 -0.02188 0.19672 0.07448 0.012355 0.016397 -0.021693 1950.12 -0.02058 -0.01414 0.18876 0.05425 -0.024751 -0.026534 -0.019443 1951.03 -0.05680 -0.06523 -0.00792 0.00821 0.022376 0.032054 -0.027774 1951.06 -0.02572 -0.01824 -0.07057 0.00160 -0.014189 -0.011432 -0.000184 1951.09 0.01907 0.02967 0.09966 0.12430 0.017456 0.006295 -0.003804 1951.12 -0.02834 -0.02458 -0.03688 0.01377 0.007281 0.003242 -0.010054 1952.03 0.01200 0.01556 0.00826 0.03554 -0.010871 -0.001310 0.010150 1952.06 0.01396 0.00430 -0.03144 0.02550 0.017831 0.010140 -0.003623 1952.09 -0.02505 0.00280 -0.02234 -0.02243 0.010027 0.005749 -0.002916 1952.12 0.00122 0.00222 0.03878 0.08756 0.007760 0.011063 0.004095 1953.03 -0.00980 -0.00875 0.07306 -0.02292 0.006283 0.004730 0.009921 1953.06 -0.00012 -0.01388 -0.04422 -0.02836 -0.001886 -0.012611 -0.002333 1953.09 0.02980 0.03118 -0.08326 -0.01555 -0.010181 -0.013068 -0.001474 1953.12 0.02649 0.03610 0.02195 0.08595 -0.003896 -0.004705 0.005798 1954.03 0.03571 0.03306 0.13233 0.10428 0.002750 0.006060 0.002582 1954.06 0.01453 -0.00461 0.05120 0.08997 -0.007105 -0.006309 -0.000495 1954.09 0.01213 0.01315 0.15268 0.09571 0.009991 0.010435 0.005614 1954.12 0.01118 0.01490 0.22346 0.13046 0.011793 0.008902 0.005919 1955.03 -0.02331 -0.00689 0.09789 0.02777 0.003299 0.003299 0.002653 1955.06 -0.00030 0.00099 0.05084 0.13764 0.012257 0.012257 0.003454 1955.09 -0.00261 -0.00034 0.03842 0.03710 0.004449 -0.000542 -0.000784 1955.12 0.01691 0.01447 0.04720 0.06286 0.015555 0.013451 0.006584 1956.03 -0.01022 -0.00507 0.04605 0.08192 0.005879 0.009222 0.005640 1956.06 0.00377 -0.01790 -0.04364 -0.01998 -0.007540 -0.009995 -0.006211 1956.09 -0.04686 -0.04132 -0.03898 -0.05182 -0.005589 0.000081 -0.001690 1956.12 -0.02882 -0.03098 -0.00469 0.04717 0.002977 -0.005512 -0.001610 1957.03 0.02472 0.02438 0.00627 -0.04826 -0.000057 0.002379 0.000128 1957.06 -0.04810 -0.05188 0.05203 0.08732 0.000084 -0.005444 -0.004448 1957.09 -0.00585 -0.01194 -0.08196 -0.10327 0.009562 0.012004 0.000940 1957.12 0.07673 0.10079 -0.13546 -0.06090 -0.007921 -0.008297 0.004527 1958.03 -0.00392 -0.01110 0.15404 0.03423 -0.014712 -0.013120 -0.009033 1958.06 0.00245 0.01558 0.14382 0.08049 0.004008 0.000534 -0.001265 1958.09 -0.07819 -0.05303 0.16860 0.11633 0.012819 0.009684 0.003025 1958.12 0.01066 0.01855 0.14914 0.11626 0.007088 0.003961 0.005177 1959.03 -0.00403 -0.00789 0.12125 -0.00003 0.004745 0.014135 0.006123 1959.06 -0.01424 -0.02713 0.00503 0.06836 0.000986 -0.002825 -0.000273 1959.09 -0.00688 -0.00983 -0.01857 -0.01785 0.001246 -0.000253 0.002893 1959.12 -0.01897 0.01411 0.01318 0.05659 0.000452 0.003158 0.005507 1960.03 0.06415 0.04638 -0.01324 -0.06939 -0.004959 -0.007994 0.009680 1960.06 0.00592 0.00056 -0.01960 0.02820 0.007836 0.009056 -0.000863 1960.09 0.03438 0.02805 -0.04136 -0.05700 -0.010240 -0.008358 0.003441 1960.12 0.01212 -0.00190 -0.01936 0.08797 -0.003503 -0.003094 -0.000590 1961.03 -0.00070 0.02694 0.22991 0.11198 -0.000125 0.005880 0.005354 1961.06 0.00534 -0.00879 0.01088 0.00720 0.006963 -0.000168 0.004419 1961.09 0.00654 0.01056 -0.04240 0.03803 -0.006576 -0.006168 -0.000666 1961.12 -0.01040 0.00988 0.06276 0.07988 0.008993 0.012005 0.005276 1962.03 0.03443 0.02854 0.06937 -0.02968 0.006227 0.001769 0.002020 1962.06 -0.00079 0.00558 -0.23689 -0.21368 -0.001104 0.002621 0.004397 1962.09 0.01075 0.01878 0.04032 0.03830 0.005121 0.000356 -0.000644 1962.12 0.01106 0.01239 0.07036 0.13304 0.004379 0.009555 0.009086 1963.03 0.00151 0.01083 0.11793 0.05855 0.002153 -0.001140 0.003776 1963.06 -0.00287 -0.00190 0.05289 0.04206 -0.003604 -0.002115 0.002846 1963.09 -0.00016 -0.00184 0.01531 0.04021 0.003533 0.005018 0.003534 1963.12 -0.00105 0.00008 -0.03447 0.05549 -0.002502 -0.003929 0.004210 1964.03 -0.00454 0.00205 0.12779 0.05485 0.014060 0.018837 0.007646 1964.06 0.01669 0.01457 0.00320 0.04335 0.015608 0.012327 0.005300 1964.09 0.00772 0.01104 0.10436 0.03178 0.015460 0.012190 0.005387 1964.12 0.00613 0.01053 0.00007 0.01457 -0.000639 -0.002043 0.004658 1965.03 0.00790 0.00732 0.12246 0.00901 0.007197 0.009014 0.008350 1965.06 -0.00125 -0.00975 -0.04011 -0.02020 0.006460 0.007245 -0.000933 1965.09 -0.00530 -0.00303 0.11151 0.06473 0.012574 0.014372 0.008494 1965.12 -0.01958 -0.02428 0.18202 0.00753 0.026211 0.028399 0.003639 1966.03 -0.02025 -0.02858 0.07050 -0.05241 0.002302 0.006842 0.001699 1966.06 -0.02184 -0.00654 -0.09246 -0.04678 0.006462 0.006442 0.003013 1966.09 0.00268 -0.03322 -0.14419 -0.08527 0.005737 0.000940 0.001380 1966.12 0.04074 0.03616 0.00206 0.04834 -0.006681 -0.003639 0.007445 1967.03 0.00992 0.03318 0.33282 0.11698 0.005932 0.005592 0.008758 1967.06 -0.06560 -0.05644 0.12409 0.00206 0.002384 -0.002978 0.001172 1967.09 -0.01274 0.00205 0.17652 0.05462 -0.003489 -0.002776 -0.000529 1967.12 -0.04837 -0.05011 0.09710 0.00376 0.004104 0.003150 0.001907 1968.03 -0.00295 0.00880 0.00142 -0.07028 0.017510 0.016246 -0.000046 1968.06 0.03714 0.00716 0.26956 0.08467 0.006235 0.007609 0.001370 1968.09 0.00770 0.03910 0.14060 0.01818 0.012934 0.012665 0.002701 1968.12 -0.08627 -0.07248 0.07007 -0.00206 -0.004302 -0.003922 0.000564 1969.03 -0.02285 -0.02961 -0.08379 -0.01412 0.007385 -0.000040 -0.000444 1969.06 -0.00217 -0.00140 -0.10410 -0.03214 0.002187 0.001457 -0.000374 1969.09 -0.06598 -0.04005 -0.08429 -0.05267 -0.000393 0.000696 0.002955 1969.12 -0.00528 -0.05708 -0.07087 -0.00432 0.003184 -0.002328 0.002334 1970.03 0.03681 0.03755 0.00834 -0.03984 0.008653 0.006512 0.003810 1970.06 -0.05304 -0.05205 -0.30498 -0.18259 -0.001065 -0.004846 0.000481 1970.09 0.04606 0.07342 0.25299 0.15179 0.003937 0.000681 0.005647 1970.12 0.04624 0.07471 0.01139 0.09243 0.001995 0.000056 -0.000167 1971.03 0.08531 0.03844 0.33826 0.08829 -0.000532 -0.004083 0.004250 1971.06 -0.05517 -0.04007 -0.08902 -0.01069 -0.000426 -0.003084 -0.004668 1971.09 0.05952 0.03032 -0.04535 -0.01675 -0.006132 -0.000595 0.006623 1971.12 0.00734 0.04479 -0.01141 0.04631 0.001352 0.002966 0.003736 1972.03 -0.01459 0.00087 0.12046 0.04967 0.006413 0.008009 0.000792 1972.06 0.01643 0.00626 -0.06650 0.01167 0.019733 0.018274 0.000783 1972.09 0.00716 0.00454 -0.05424 0.04306 0.010332 0.009503 -0.000175 1972.12 0.01158 0.02371 0.00415 0.06831 0.014920 0.017086 0.002734 1973.03 -0.04338 -0.01971 -0.12833 -0.05420 0.006098 0.007940 -0.006378 1973.06 -0.03843 -0.03394 -0.18760 -0.07389 -0.012396 -0.001215 -0.004431 1973.09 -0.00078 -0.00498 0.13917 0.00427 0.002949 0.006003 -0.002997 1973.12 -0.03974 -0.04204 -0.24000 -0.11530 -0.009832 0.003385 -0.003471 1974.03 -0.09018 -0.08585 0.15989 -0.09603 -0.023372 -0.002152 -0.014961 1974.06 -0.03693 -0.07858 -0.18882 -0.09556 -0.001475 0.000991 -0.005168 1974.09 -0.02440 -0.05252 -0.20138 -0.27899 0.004667 -0.004777 -0.011096 1974.12 0.07431 0.06898 -0.10187 0.07954 -0.011869 -0.013738 -0.006708 1975.03 -0.00520 0.03362 0.73524 0.17903 0.002460 0.000555 -0.001053 1975.06 0.02000 0.02396 0.16372 0.13649 0.013846 0.007791 -0.004783 1975.09 -0.04861 -0.05611 -0.18364 -0.13697 0.000101 0.006023 -0.003620 1975.12 0.06119 0.07667 -0.00409 0.06415 -0.000154 -0.002154 -0.001900 1976.03 0.03204 0.04213 0.47937 0.13412 0.019369 0.012066 0.004868 1976.06 0.00327 -0.00013 -0.04809 0.02137 0.010445 -0.001846 -0.003137 1976.09 0.03260 0.04414 -0.03203 0.01382 0.007481 0.003868 -0.001387 1976.12 0.06664 0.06519 0.12953 0.00808 0.010936 0.010461 0.002267 1977.03 -0.04782 -0.03656 0.00940 -0.09099 0.007429 -0.000890 -0.011212 1977.06 0.01614 0.01836 0.05949 0.00840 -0.004434 -0.004780 -0.008531 1977.09 -0.00085 0.00038 -0.02152 -0.03666 -0.001423 -0.003024 0.000862 1977.12 -0.02959 -0.02130 0.06669 -0.02037 0.014413 0.016339 0.003416 1978.03 -0.02108 -0.01123 0.13073 -0.07017 0.004146 -0.003388 -0.004406 1978.06 -0.04170 -0.03994 0.10078 0.04848 0.001976 0.002780 -0.013233 1978.09 0.00433 0.00984 0.14379 0.05894 0.002934 0.004490 -0.001988 1978.12 -0.03160 -0.03776 -0.22909 -0.04716 0.013965 0.012743 0.002648 1979.03 -0.00765 -0.01064 0.20627 0.02834 -0.002654 -0.006105 -0.006977 1979.06 0.01019 0.00910 0.06064 -0.01476 -0.007861 -0.005938 -0.008765 1979.09 -0.05515 -0.05152 0.04940 0.03263 0.002032 0.001270 -0.009649 1979.12 -0.07449 -0.10201 -0.04863 -0.02349 0.004997 0.001777 -0.000705 1980.03 -0.17179 -0.16225 -0.18308 -0.05320 -0.008297 -0.018495 -0.013333 1980.06 0.21403 0.22104 0.13223 0.09400 -0.012014 -0.019827 -0.005361 1980.09 -0.13235 -0.13020 0.19048 0.07628 -0.004471 0.001494 0.002721 1980.12 -0.00725 -0.01303 -0.01142 0.08201 -0.000733 -0.001852 0.005713 1981.03 -0.04473 -0.03782 0.12274 -0.05115 0.000087 0.002181 0.007384 1981.06 -0.02332 -0.03471 0.05666 -0.04801 -0.000845 -0.011372 0.012521 1981.09 -0.09650 -0.10316 -0.14824 -0.10428 -0.002621 -0.020134 0.008383 1981.12 0.13701 0.11890 0.08098 0.05485 -0.002025 -0.000683 0.023733 1982.03 0.03842 0.02778 -0.03892 -0.08530 -0.003576 -0.001152 0.021436 1982.06 0.01645 0.02342 -0.00282 -0.00426 0.002945 -0.021955 0.005152 1982.09 0.18746 0.20003 0.10171 0.09437 0.003094 0.005870 0.014000 1982.12 0.09094 0.10981 0.27496 0.15940 0.004864 0.012974 0.022240 1983.03 0.01154 0.04119 0.23687 0.10018 0.007603 0.000192 0.016027 1983.06 -0.01398 0.00049 0.22292 0.08739 0.009716 0.006639 0.004756 1983.09 -0.00567 -0.00963 -0.02387 -0.00268 0.010550 0.005017 0.010256 1983.12 -0.00550 -0.00582 0.00377 0.00032 0.005590 0.004830 0.016350 1984.03 -0.02102 -0.02505 -0.00744 -0.02724 0.000061 -0.000809 0.009529 1984.06 -0.05101 -0.04940 -0.06995 -0.02085 0.014589 0.007334 0.012492 1984.09 0.13030 0.12849 0.03379 0.09004 -0.000892 -0.008251 0.012902 1984.12 0.07118 0.08444 -0.06136 0.00719 -0.000622 0.001892 0.020656 1985.03 0.01070 0.01492 0.17053 0.08108 0.006300 0.000589 0.007984 1985.06 0.12020 0.11404 0.00595 0.05970 0.003548 0.002934 0.008407 1985.09 0.00259 0.01425 -0.01522 -0.04174 0.005585 0.001557 0.011002 1985.12 0.12296 0.11104 0.14416 0.16117 0.007026 0.007373 0.010167 1986.03 0.20729 0.11693 0.12310 0.14037 0.011952 0.007884 0.021302 1986.06 0.01226 0.01990 0.01523 0.07580 0.009786 -0.009103 0.009583 1986.09 -0.02073 0.01133 -0.09401 -0.07461 -0.001967 -0.001463 0.007306 1986.12 0.04848 0.04897 0.02106 0.04778 0.001825 0.004692 0.010726 1987.03 -0.00478 0.00003 0.17421 0.18540 0.003077 0.007087 -0.001250 1987.06 -0.06592 -0.05850 0.03540 0.03122 -0.002387 0.004138 0.000566 1987.09 -0.07786 -0.06902 0.06747 0.05374 -0.000190 -0.003850 0.001210 1987.12 0.07621 0.07874 -0.33453 -0.22612 -0.004024 -0.000738 0.009586 ; run; title 'Consumption-Based Asset Pricing Model'; proc model data=harvey; endogenous conrat; exogenous gb cb d1 d10 ; parms beta 1.0 alpha 1.0; /* set up lags for use as instruments */ lc1 = lag(cinst); lc2 = lag2(cinst); lc3 = lag3(cinst); lc4 = lag4(cinst); ltb1 = lag(rinst); ltb2 = lag2(rinst); ltb3 = lag3(rinst); ltb4 = lag4(rinst); /* moment conditions */ eq.h1 = beta * (1+conrat)**(-alpha) * (1+gb) - 1 ; eq.h2 = beta * (1+conrat)**(-alpha) * (1+cb) - 1 ; eq.h3 = beta * (1+conrat)**(-alpha) * (1+d1) - 1 ; eq.h4 = beta * (1+conrat)**(-alpha) * (1+d10) - 1 ; fit h1-h4 / itgmm kernel=(parzen,1,0); instruments lc1-lc4 ltb1-ltb4 ; run; quit; proc gplot data=harvey; plot conrat*date / cframe=ligr; title 'Consumption Ratio'; symbol1 c=blue value=star; run; quit; data harvey; set harvey; exretcb=cb-gb; exretd1=d1-gb; exretd10=d10-gb; run; proc model data=harvey; endogenous conrat; exogenous exretcb exretd1 exretd10; parms beta 1.0 alpha 1.0; /* moment conditions */ eq.h2 = 1 * (1+conrat)**(-alpha) * (exretcb); eq.h3 = 1 * (1+conrat)**(-alpha) * (exretd1); eq.h4 = 1 * (1+conrat)**(-alpha) * (exretd10) ; fit h2 h3 h4/itgmm kernel=(parzen,1,0); run; quit;