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Through the looking glass: Indirect inference via simple equilibria
- Source :
- Journal of Econometrics, Journal of Econometrics, 2015, pp.343-358 P
- Publication Year :
- 2015
- Publisher :
- Elsevier BV, 2015.
-
Abstract
- International audience; This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. Our approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria that can serve as building blocks for estimation. We use this insight to develop an accurate estimator for the long-run risk model of Bansal and Yaron (2004). We demonstrate the accuracy of our method by Monte Carlo simulation and estimate the long-run risk model on U.S. data. We also illustrate the good performance of the methodology on an asset pricing model with investor learning.
- Subjects :
- JEL: C - Mathematical and Quantitative Methods/C.C0 - General/C.C0.C01 - Econometrics
Large class
JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C53 - Forecasting and Prediction Methods • Simulation Methods
Economics and Econometrics
Hidden Markov model
long-run risk
learning
value at risk
indirect inference
particle filters
Computer science
Monte Carlo method
jel:C01
Indirect Inference
01 natural sciences
Value at risk
Indirect inference
010104 statistics & probability
Simple (abstract algebra)
0502 economics and business
Econometrics
JEL: C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C15 - Statistical Simulation Methods: General
Capital asset pricing model
Learning
Applied mathematics
JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial Econometrics
050207 economics
0101 mathematics
[SHS.ECO] Humanities and Social Sciences/Economics and Finance
Long-run risk
jel:C53
Applied Mathematics
05 social sciences
JEL: C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C13 - Estimation: General
Estimator
jel:C13
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
jel:C58
jel:C15
[SHS.GESTION]Humanities and Social Sciences/Business administration
Particle filters
[SHS.GESTION] Humanities and Social Sciences/Business administration
Particle filter
Subjects
Details
- ISSN :
- 03044076
- Volume :
- 185
- Database :
- OpenAIRE
- Journal :
- Journal of Econometrics
- Accession number :
- edsair.doi.dedup.....537d042d4e68f396b1083aaddd664e62