Chapter 12 Specification and estimation of intertemporal asset pricing models This chapter discusses recent econometric work on dynamic equilibrium asset pricing models reviews the specifications of econometric models of asset price determination and explores the properties of several extensions of these models. It focuses on the tradeoffs involved in achieving econometric identification both in terms of the economic and statistical assumptions which must be made and the limitations of the requisite data which are used in implementing alternative models. The increased interest in the econometric implications of intertemporal asset pricing relations is traced to several important developments in economic theory and econometric method. The chapter discusses the relation between consumption and asset returns implied by the representative agent models. It describes the representation of asset prices in terms of a linear functional on a space of random payoffs. When agents can trade a complete set of contingent claims to goods in the future the benchmark payoff that defines this function can be identified with the intertemporal marginal rate of substitution of a numeraire good.