TY  - BOOK
AU  - LIU, Peng
AU  - REN, Yu
TI  - Specification tests of habit formation
PY  - 2013///
CY  - New York
PB  - Taylor & Francis
KW  - consumption based CAPM
KW  - habit formation
KW  - simulated moment method
N2  - Campbell and Cochrane (1999) propose the habit formation model to explain the equity premium puzzle. They assume that an agent’s consumption is affected by habit and describe how habit adjusts to the history of consumption. We use the simulated moment method to test these two specifications. Empirically, we find that habit plays an important role in an agent’s consumption choice, however not in the way Campbell and Cochrane (1999) specify
UR  - https://doi.org/10.1080/13504851.2013.826871
ER  -