Møller, Stig Vinther - In: Journal of Empirical Finance 16 (2009) 4, pp. 525-536
This paper uses an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane [Campbell, J.Y., Cochrane, J.H., 1999. By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107,...
