<p>I would recommend you read <a href="https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12438" rel="nofollow noreferrer">Kroencke (2017)</a>. That paper dismantles the problem in a lot of prior (flawed) consumption-based asset pricing research as well as explaining some findings for what were seemingly better proxies. It is a fantastic bit of work and likely not yet in some of the texts you might encounter.</p>

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2020-08-25T02:05:58.597Z
2020-08-25T02:05:58.597Z
kurtosis
<p>Has anybody seen, any textbook recommendation that refers to the proper proxy for consumption. I am trying to estimate a two factor consumption CAPM, namely we I add a second factor apart from consumtion in the model. But the paper that I read, it only refers to non-durable goods and services as a proxy. I am wondering if there is some other type of proxy and any recommendation would be very helpful.</p>

<finance><consumer-theory><asset-pricing><consumption><empirical-methods>
Does anybody knows where I should look for a proxy for consumption to estimate a two factor C-CAPM?
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# Does anybody knows where I should look for a proxy for consumption to estimate a two factor C-CAPM?

(Asked by: username_0 on 2020-06-18)

Has anybody seen, any textbook recommendation that refers to the proper proxy for consumption. I am trying to estimate a two factor consumption CAPM, namely we I add a second factor apart from consumtion in the model. But the paper that I read, it only refers to non-durable goods and services as a proxy. I am wondering if there is some other type of proxy and any recommendation would be very helpful.

**Tags:** finance, consumer-theory, asset-pricing, consumption, empirical-methods


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## 1 answers

### Answer by username_1 on 2020-08-25. Score: 1 | Accepted answer

I would recommend you read [Kroencke (2017)](https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12438). That paper dismantles the problem in a lot of prior (flawed) consumption-based asset pricing research as well as explaining some findings for what were seemingly better proxies. It is a fantastic bit of work and likely not yet in some of the texts you might encounter.


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