Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship

DOI10.1016/0165-1889(89)90001-8zbMath0671.62110MaRDI QIDQ1119322

Bong-Soo Lee

Publication date: 1989

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(89)90001-8

zbMATH Keywords

production; inflation; money; equilibrium model; overidentifying restrictions; asset returns; backwards-mapping method; GMM procedures; nonlinear stochastic asset pricing model; nonlinear stochastic equilibrium model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

65C20: Probabilistic models, generic numerical methods in probability and statistics

91B50: General equilibrium theory

91B82: Statistical methods; economic indices and measures

Related Items

Equilibrium implications of interest rate smoothing, Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy, Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy, Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship, Equilibrium interest-rate determination under adjustment costs, Estimating simultaneous equations models by a simulation technique

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