Estimating dynamic equilibrium models using mixed frequency macro and financial data
| Autor: | Michel van der Wel, Bent Jesper Christensen, Olaf Posch |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Finance
Economics and Econometrics Series (mathematics) structural estimation AK-Vasicek model Martingale estimating function business.industry Applied Mathematics 05 social sciences Structural estimation Monte Carlo method jel:E32 Estimator jel:C13 Asymptotic theory (statistics) Martingale estimating function jel:O40 0502 economics and business 050207 economics Macro AK-Vasicek model Martingale (probability theory) business 050205 econometrics Mathematics Generalized method of moments |
| Zdroj: | Christensen, B J, Posch, O & Van Der Wel, M 2016, ' Estimating dynamic equilibrium models using mixed frequency macro and financial data ', Journal of Econometrics, vol. 194, no. 1, pp. 116-137 . https://doi.org/10.1016/j.jeconom.2016.04.005 |
| ISSN: | 0304-4076 |
| DOI: | 10.1016/j.jeconom.2016.04.005 |
| Popis: | We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently accounts for the difference in observation frequency. We suggest the use of martingale estimating functions (MEF) to infer the structural parameters of the model directly through a nonlinear scheme. This method is compared to regression-based methods and the generalized method of moments (GMM). We illustrate our approaches by estimating various versions of the AK-Vasicek model with mean-reverting interest rates. We provide asymptotic theory and Monte Carlo evidence on the small sample behavior of the estimators and report empirical estimates using 30 years of US macro and financial data. |
| Databáze: | OpenAIRE |
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