Two estimators for the apt model when factors are measured |
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| Authors: | Marjorie B. McElroy Edwin Burmeister Kent D. Wall |
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| Affiliation: | Duke University, Durham, NC 27706, USA;University of Virginia, Charlottesville, VA 22903, USA |
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| Abstract: | ![]()
Non-linear SUR and ITSUR techniques are proposed for the estimation of the APT and the CAPM when the factors are observed. These techniques estimate all of the parameters of the model simultaneously and directly impose the model's non-linear parameter restrictions. |
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