Generalized spectral estimation of the consumption-based asset pricing model

Autor:	Jeremy Berkowitz
Rok vydání:	2001
Předmět:	Moment (mathematics) Economics and Econometrics Rational expectations Applied Mathematics Frequency domain Test statistic Econometrics Spectral density estimation Estimator White noise Special case Mathematics
Zdroj:	Journal of Econometrics. 104:269-288
ISSN:	0304-4076
DOI:	10.1016/s0304-4076(01)00081-1
Popis:	This paper provides a framework for estimating parameters of a wide class of dynamic rational expectations models in the frequency domain. The approach is particularly useful for models that are meant to match the data only in limited ways. Specifically, this holds when interest is focused on a subset of frequencies. The estimation strategy generalizes band spectrum regression to more general settings and allows for more general loss functions. A noteworthy special case involves whitening estimators which force estimated innovations to be close to white noise. These estimators can be understood as minimizing a set of moment conditions which grows with sample size and which are typically implied by RE models.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::26295f9c6ee1e8713c5b925584956942 https://doi.org/10.1016/s0304-4076(01)00081-1 Zobrazit plný text záznamu Full Text from ScienceDirect