Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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(only showing first 100 items - show all)- On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference
- Worst-case estimation for econometric models with unobservable components
- What do `residuals' from first-order conditions reveal about DGE models?
- Asset pricing with incomplete information and fat tails
- Full-versus limited-information estimation of a rational-expectations model. Some numerical comparisons
- Asset-return anomalies in a monetary economy
- Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship
- A cointegration approach to estimating preference parameters
- Growth effect of taxes in an endogenous growth model: To what extent do taxes affect economic growth?
- Approximate \(p\)-values of predictive tests for structural stability
- Excess volatility. A testing strategy
- Labor income, borrowing constraints, and equilibrium asset prices
- Nonparametric estimation of structural models for high-frequency currency market data
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Intrinsic bubbles and asset price volatility
- Maximum likelihood estimation of the nonlinear rational expectations asset pricing model
- Empirical reverse engineering of the pricing kernel.
- Estimation by simulation of monotone dynamical systems
- Generalized maximum entropy estimation of dynamic programming models with sample selection bias
- Dynamic employment and hours effects of government spending shocks
- Prices as factors: approximate aggregation with incomplete markets.
- Intellectual property rights and R\&D subsidies: are they complementary policies?
- Transitory consumption, durability and different approaches to test the life cycle model
- An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
- The asymptotic properties of GMM and indirect inference under second-order identification
- The ABC of simulation estimation with auxiliary statistics
- GMM inference when the number of moment conditions in large
- Finite sample properties of test of Epstein-Zin asset pricing model
- Two-step two-stage least squares estimation in models with rational expectations
- Financial econometrics: Past developments and future challenges
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
- Semiparametric instrumental variables estimation
- Simulation-based estimation of dynamic models with continuous equilibrium solutions
- The role of theory in econometrics
- Estimating simultaneous equations models by a simulation technique
- The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment
- Method-of-moments estimation and choice of instruments: numerical computations
- An intertemporal consumption-leisure model with non-expected utility
- Nonparametric risk management and implied risk aversion
- On information and market dynamics: The case of the U. S. beef market
- Computing equilibria in infinite-horizon finance economies: The case of one asset
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Divergent risk-attitudes and endogenous collateral constraints
- The role of household debt and delinquency decisions in consumption-based asset pricing
- Can players avoid the tragedy of the commons in a joint debt game?
- Linear IV regression estimators for structural dynamic discrete choice models
- Solving Euler equations via two-stage nonparametric penalized splines
- Bayesian estimation of long-run risk models using sequential Monte Carlo
- Solution manifold and its statistical applications
- Option valuation with IG-GARCH model and a U-shaped pricing kernel
- The empirical saddlepoint estimator
- Contemporaneous statistics for estimation in stochastic actor-oriented co-evolution models
- Sample sensitivity for two-step and continuous updating GMM estimators
- Testing identification strength
- Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks
- The failure of stabilization policy: balanced-budget fiscal rules in the presence of incompressible public expenditures
- On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification
- Robust estimation with many instruments
- High dimensional generalized empirical likelihood for moment restrictions with dependent data
- Portfolio performance sensitivity for various asset-pricing kernels
- On the computational complexity of MCMC-based estimators in large samples
- Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
- Penalized generalized empirical likelihood in high-dimensional weakly dependent data
- Endogenous time preference, inflation, and capital accumulation
- A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
- Theory-coherent forecasting
- The Asian financial crisis and investors' risk aversion
- Beyond optimality: Managing children, assets, and consumption over the life cycle
- Is time preference different across incomes and countries?
- Factor investing for the long run
- Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
- Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.
- A moving blocks empirical likelihood method for longitudinal data
- Semiparametric dynamic portfolio choice with multiple conditioning variables
- Further international evidence on durable consumption growth and long-run consumption risk
- Comparative statics effects independent of the utility function. When do we act the same way under risk?
- Econometric approaches to the specification of life cycle labour supply and commodity demand behaviour
- Intertemporal consumer behaviour under structural changes in income
- Nonparametric identification of positive eigenfunctions
- Econometric approaches to the specification of life-cycle labour supply and commodity demand behaviour
- Basic structure of the asymptotic theory in dynamic nonlinear econometric models
- INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES
- INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES
- Asset prices and the fundamentals: a Q test
- Approximate maximum entropy on the mean for instrumental variable regression
- Exponential risk measure with application to UK asset allocation
- An Econometric Model Based on the Maxmin Expected Utility Model: An Application to Earthquake Insurance
- A financial CCAPM and economic inequalities
- On a test for structural stability of euler conditions parameters estimated via the generalized method of moments estimator: small sample properties
- A fast iterated bootstrap procedure for approximating the small-sample bias
- Two-step combined nonparametric likelihood estimation of misspecified semiparametric models
- Optimal retirement planning with a focus on single and joint life annuities
- NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
- Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
- Misspecified semiparametric model selection with weakly dependent observations
- The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests
- A statistical procedure for testing financial contagion
- Underidentification?
- CUE with many weak instruments and nearly singular design
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