Estimation and testing of Euler equation models with time-varying reduced-form coefficients

DOI10.1016/J.JECONOM.2007.07.002zbMATH Open1418.62508OpenAlexW2086997817MaRDI QIDQ290971FDOQ290971

Hong Li

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.07.002

zbMATH Keywords

Euler equationsparameter instabilitymodel evaluation and testing

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Large Sample Properties of Generalized Method of Moments Estimators
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
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• Optimal changepoint tests for normal linear regression
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment
• The design of monetary and fiscal policy: a global perspective
• AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
• Inflation Persistence
• Investment and interest rate policy
• Are consumption-based intertemporal capital asset pricing models structural?

Cited In (3)

• The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment
• On the identifiability of Euler equation estimates under saddlepath stability
• Estimating and testing for smooth structural changes in moment condition models

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