This notebook shows how to estimate the Consumption-CAPM model using the General Method of Moments (GMM). The model has been estimated using USA Consumption data and the SP500 prices. The time series are yearly, from 1889 to 2009.
References Lucas, Robert E. (November 1978). "Asset Prices in an Exchange Economy". Econometrica. 46 (6): 1429–1445. doi:10.2307/1913837. ISSN 0012-9682. JSTOR 1913837. Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of financial Economics, 7(3), 265-296. Cochrane, John H. (2009). Asset Pricing : (Revised Edition). Princeton University Press. ISBN 9781400829132. OCLC 1038790818.