Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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(only showing first 100 items - show all)- Excess volatility. A testing strategy
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- Portfolio performance sensitivity for various asset-pricing kernels
- A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions
- An intertemporal consumption-leisure model with non-expected utility
- Transitory consumption, durability and different approaches to test the life cycle model
- A general diagnostic of the normal approximation in GMM models
- The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment
- INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES
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- Finite sample properties of test of Epstein-Zin asset pricing model
- Contemporaneous statistics for estimation in stochastic actor-oriented co-evolution models
- Robust estimation with many instruments
- Increasing the power of moment-based tests
- Basic structure of the asymptotic theory in dynamic nonlinear econometric models
- A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
- Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
- Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
- A moving blocks empirical likelihood method for longitudinal data
- Penalized generalized empirical likelihood in high-dimensional weakly dependent data
- Consistent specification testing for conditional moment restrictions
- Intrinsic bubbles and asset price volatility
- Can players avoid the tragedy of the commons in a joint debt game?
- Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.
- Rational expectations as a tool for predicting failure of weighted \(k\)-out-of-\(n\) reliability systems
- An Econometric Model Based on the Maxmin Expected Utility Model: An Application to Earthquake Insurance
- Co-jumps and recursive preferences in portfolio choices
- Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks
- Mendelian randomization as an instrumental variable approach to causal inference
- Assessing misspecified asset pricing models with empirical likelihood estimators
- Underidentification?
- Semi-parametric estimation of American option prices
- CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS
- Asset-return anomalies in a monetary economy
- Beyond optimality: Managing children, assets, and consumption over the life cycle
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Seasonality and equilibrium business cycle theories
- Testing nonnested Euler conditions with quadrature-based methods of approximation
- Empirical likelihood block bootstrapping
- Properties of equilibrium asset prices under alternative learning schemes
- Maximum likelihood estimation of the nonlinear rational expectations asset pricing model
- GMM inference when the number of moment conditions in large
- Econometric approaches to the specification of life-cycle labour supply and commodity demand behaviour
- Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship
- Divergent risk-attitudes and endogenous collateral constraints
- Estimating and testing rational expectations models when the trend specification is uncertain.
- GROWTH, RENEWABLES, AND THE OPTIMAL CARBON TAX
- A fast iterated bootstrap procedure for approximating the small-sample bias
- Misspecified semiparametric model selection with weakly dependent observations
- Prices as factors: approximate aggregation with incomplete markets.
- Empirical reverse engineering of the pricing kernel.
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Full-versus limited-information estimation of a rational-expectations model. Some numerical comparisons
- An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
- Optimal retirement planning with a focus on single and joint life annuities
- Intellectual property rights and R\&D subsidies: are they complementary policies?
- On the computational complexity of MCMC-based estimators in large samples
- Estimation by simulation of monotone dynamical systems
- Endogenous time preference, inflation, and capital accumulation
- The role of household debt and delinquency decisions in consumption-based asset pricing
- Bayesian estimation of long-run risk models using sequential Monte Carlo
- Regularized GMM for time-varying models with applications to asset pricing
- Double robust inference for continuous updating GMM
- Is time preference different across incomes and countries?
- Sample sensitivity for two-step and continuous updating GMM estimators
- Testing identification strength
- Lag order selection for long-run variance estimation in econometrics
- Computing equilibria in infinite-horizon finance economies: The case of one asset
- Theory-coherent forecasting
- Price uncertainty and consumer welfare in an intertemporal setting
- Asset prices and the fundamentals: a Q test
- A threshold model for the spread
- Deep partial least squares for instrumental variable regression
- Simulation-based estimation of dynamic models with continuous equilibrium solutions
- Estimating simultaneous equations models by a simulation technique
- Generalized maximum entropy estimation of dynamic programming models with sample selection bias
- Two-step two-stage least squares estimation in models with rational expectations
- Dynamic employment and hours effects of government spending shocks
- A cointegration approach to estimating preference parameters
- Exponential risk measure with application to UK asset allocation
- Approximate maximum entropy on the mean for instrumental variable regression
- The asymptotic properties of GMM and indirect inference under second-order identification
- Relative risk aversion must be close to 1
- Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
- The role of theory in econometrics
- Econometric approaches to the specification of life cycle labour supply and commodity demand behaviour
- On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference
- Cost minimization and the stochastic discount factor
- INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES
- The failure of stabilization policy: balanced-budget fiscal rules in the presence of incompressible public expenditures
- Solution manifold and its statistical applications
- Linear IV regression estimators for structural dynamic discrete choice models
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