In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator assumes that the measurement error is lognormally distributed. The second estimator drops the distributional...

We develop a model for consumption and income that allows for pervasive heterogeneity and co-dependence between the structural parameters. This provides a comprehensive unifying framework to study income and consumption dynamics jointly. We estimate a full set of structural parameters that...

There is widespread agreement that given currently available data, we cannot accurately estimate the parameters of intertemporal allocation using GMM on Euler equations, whether they be exact or approximate. Our reading of this literature and our own results is that this is a small sample...

In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator assumes that the measurement error is lognormally distributed. The second estimator drops the distributional...