Table A.2: Price of Risk Estimates:...

Table A.2:

Price of Risk Estimates: Estimation with Intercept, Small Cross-Section.

	Short Sample (1960-2014)					Full Sample (1928-2014)
	T = 55 and N = 7					T = 87 and N = 7
	Reported Dec.	Garbage Dec.	P-J Dec.	Q4-Q4 Dec.	Unfiltered T.A.	Reported Dec.	Unfiltered T.A.
const	6.98	7.29	3.24	−1.33	−2.73	7.10	−3.50
t(const)_sh	1.87	1.67	0.72	−0.23	−0.61	1.60	−0.73
Btrp c.i.₉5%	(−6.3,14.7)	(−7.6,23.0)	(−7.9,12.3)	(−15.8,11.0)	(−6.9,11.9)	(−4.1,14.4)	(−11.8,7.7)
λ	1.41	0.07	4.57	2.28	3.64	2.58	4.03
t(λ)s^h	1.57	0.05	2.10	1.92	2.18	1.63	2.21
Btrp c.i.₉5%	(−1.2,3.6)	(−5.1,4.8)	(0.7,7.9)	(0.1,4.3)	(−2.2,4.8)	(−3.0,4.9)	(0.2,6.2)
GRS-FAR c.i.₉5%	disjointed	disjointed	disjointed	disjointed	(2.3, 5.7)	disjointed	empty
implied γ	80.98	0.85	44.03	104.93	53.59	53.90	24.62
t(β_HML), p-value	0.01	0.88	0.00	0.02	0.20	0.11	0.09
F(β_i = β_j), p-value	0.49	0.49	0.06	0.22	0.00	0.28	0.00

	Short Sample (1960-2014)					Full Sample (1928-2014)
	T = 55 and N = 7					T = 87 and N = 7
	Reported Dec.	Garbage Dec.	P-J Dec.	Q4-Q4 Dec.	Unfiltered T.A.	Reported Dec.	Unfiltered T.A.
const	6.98	7.29	3.24	−1.33	−2.73	7.10	−3.50
t(const)_sh	1.87	1.67	0.72	−0.23	−0.61	1.60	−0.73
Btrp c.i.₉5%	(−6.3,14.7)	(−7.6,23.0)	(−7.9,12.3)	(−15.8,11.0)	(−6.9,11.9)	(−4.1,14.4)	(−11.8,7.7)
λ	1.41	0.07	4.57	2.28	3.64	2.58	4.03
t(λ)s^h	1.57	0.05	2.10	1.92	2.18	1.63	2.21
Btrp c.i.₉5%	(−1.2,3.6)	(−5.1,4.8)	(0.7,7.9)	(0.1,4.3)	(−2.2,4.8)	(−3.0,4.9)	(0.2,6.2)
GRS-FAR c.i.₉5%	disjointed	disjointed	disjointed	disjointed	(2.3, 5.7)	disjointed	empty
implied γ	80.98	0.85	44.03	104.93	53.59	53.90	24.62
t(β_HML), p-value	0.01	0.88	0.00	0.02	0.20	0.11	0.09
F(β_i = β_j), p-value	0.49	0.49	0.06	0.22	0.00	0.28	0.00

Description: This table complements Table 5 in the main paper and provides results for estimation with an intercept λ₀.

Interpretation: P-J, Q4-Q4, and unfiltered consumption are significandy priced according to bootstrap confidence intervals even in the short sample, when testing with an intercept is likely to become more powerful than with N = 31∕N = 21.

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