A portfolio model estimator

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Abstract

An extension of the Hatanaka method is discussed and applied to the estimation of portfolio models. In particular, it is shown that the invariance property is maintained if the instruments are constructed in a way which is consistent with the balance-sheet constraint, and that the direct estimation of equilibrium coefficients is facilitated by the generalisation of an expansion technique.

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The comments and suggestions of R.D. Terrell, T.J. Valentine and C.R. McKenzie are gratefully acknowledged.

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