Engsted, Tom; Hyde, Stuart; Møller, Stig V. - In: Journal of International Money and Finance 29 (2010) 7, pp. 1237-1255
On an international post World War II dataset, we use an iterated GMM procedure to estimate and test the Campbell and Cochrane (1999, By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, 205-251.) habit formation model with a...
