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Euler Equation estimation on micro data
Alan, Sule; Atalay, Kadir; Crossley, Thomas F. - 2012
macroeconomics. When estimated on micro-data these equations are typically linearized so standard IV or GMM methods can be employed … Error ; Instrumental Variables ; GMM …
Persistent link: https://www.econbiz.de/10009571060
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Euler equation estimation on micro data
Alan, Sule; Atalay, Kadir; Crossley, Thomas F. - In: Macroeconomic dynamics 23 (2019) 8, pp. 3267-3292
Persistent link: https://www.econbiz.de/10012166236
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Euler Equation Estimation on Micro Data
Alan, Sule; Atalay, Kadir; Crossley, Thomas F. - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2012
macroeconomics. When estimated on micro-data these equations are typically linearized so standard IV or GMM methods can be employed …
Persistent link: https://www.econbiz.de/10010559905
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Risk aversion among Australian households
Breunig, Robert; Freestone, Owen - 2019
Persistent link: https://www.econbiz.de/10012223777
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Identification and method of moments estimation in polynomial measurement error models
Biørn, Erik - 2017
Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is …
Persistent link: https://www.econbiz.de/10011636052
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The measurement error problem in dynamic panel data analysis: Modeling and GMM estimation
Biørn, Erik - 2012
The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random … is assumed. Two specializations of GMM are considered: (i) using instruments (IVs) in levels for a differenced version of … sample biases and IV quality are illustrated by Monte Carlo simulations. Overall, with respect to bias and IV strength, GMM …
Persistent link: https://www.econbiz.de/10010330243
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Measurement errors in a spatial context
Le Gallo, Julie; Fingleton, Bernard - In: Regional science & urban economics 42 (2012) 1/2, pp. 114-125
Persistent link: https://www.econbiz.de/10009621220
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Chapter 77 Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization
Carrasco, Marine; Florens, Jean-Pierre; Renault, Eric - In: Handbook of econometrics : volume 6B, (pp. 5633-5751). 2007
Inverse problems can be described as functional equations where the value of the function is known or easily estimable but the argument is unknown. Many problems in econometrics can be stated in the form of inverse problems where the argument itself is a function. For example, consider a...
Persistent link: https://www.econbiz.de/10014024938
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Risk of rare disasters, Euler equation errors and the performance of the C-CAPM : conference paper
Posch, Olaf; Schrimpf, Andreas - 2013
This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk rationalizes large pricing errors, i.e., Euler equation errors. This result is remarkable, since Lettau and Ludvigson (2009) show that leading asset pricing models cannot explain sizeable...
Persistent link: https://www.econbiz.de/10010338284
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The measurement error problem in dynamic panel data analysis : modeling and GMM estimation
Biørn, Erik - 2012 - Publisert 13. feb. 2012 09:52 - Sist endret 13. feb. 2012 10:14
The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random … is assumed. Two specializations of GMM are considered: (i) using instruments (IVs) in levels for a differenced version of … sample biases and IV quality are illustrated by Monte Carlo simulations. Overall, with respect to bias and IV strength, GMM …
Persistent link: https://www.econbiz.de/10009489019