This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered. Based on the log-linearized DSGE model, a Gaussian probability model...

Estimators based on moment conditions of the form E[g(X,t)], where t is a finite-dimensional parameter vector of interest, are a popular tool in applied econometrics. Unlike likelihood-based estimators, moment-based estimators do not require the researcher to specify the probability distribution...

To generate persistence we augment the standard real business cycle (RBC) model with a ``learning by doing'' (LBD) mechanism, where current labor supply affects workers' future labor productivity. Our econometric analysis shows that the LBD model fits aggregate data much better than the standard...