Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and stochastic discount factor (SDF) methods, with centered and uncentered versions of the latter. We show that unlike standard two-step or iterated generalized method of moments (GMM)...

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...