5. Factor models with factors that are not returns are usually estimated and tested by cross-sectional regressions. There is a way to use a time- series regression to estimate and test the model, however. The time-series regression is RC = a; + Bife + ; t = 1,2... T for each i. Recall from (12.24) that the asset pricing model does not leave a; free; instead they must satisfy a = B [1 E(F)]. Write down a set of moment con- ditions that you can use to estimate this model and test the restriction on the a;. Describe how you would estimate the parameters, and what formula you would look up to compute a testhow you would use o (), cov(gr), Jr, etc. (Hint: start with the moments for unrestricted OLS time-series regressions, then impose the constraint between a and 1. You will estimate the restricted model.) 5. Factor models with factors that are not returns are usually estimated and tested by cross-sectional regressions. There is a way to use a time- series regression to estimate and test the model, however. The time-series regression is RC = a; + Bife + ; t = 1,2... T for each i. Recall from (12.24) that the asset pricing model does not leave a; free; instead they must satisfy a = B [1 E(F)]. Write down a set of moment con- ditions that you can use to estimate this model and test the restriction on the a;. Describe how you would estimate the parameters, and what formula you would look up to compute a testhow you would use o (), cov(gr), Jr, etc. (Hint: start with the moments for unrestricted OLS time-series regressions, then impose the constraint between a and 1. You will estimate the restricted model.)