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不依赖理性预期的矩条件模型稳健推断AI 解读

Applied researchers using structural models under rational expectations (RE) often confront empirical evidence of misspecification. In this paper we consider a generic dynamic model that is posed as a vector of unconditional moment restrictions. We suppose that the model is globally misspecified under RE, and thus empirically flawed in a way that is not econometrically subtle. We relax the RE restriction by allowing subjective beliefs to differ from the data-generating…

广义矩估计量大样本性质的证明AI 解读

I present proofs for the consistency of generalized method of moments (GMM) estimators presented in Hansen (1982). Some basic approximation results provide the groundwork for the analysis of a class of such estimators. Using these results, I establish the large sample convergence of GMM estimators under alternative restrictions on the estimation problem.

欠识别？AI 解读

We develop methods for testing that an econometric model is underidentified and for estimating the nature of the failed identification. We adopt a generalized-method-of moments perspective in a possibly non-linear econometric specification. If, after attempting to replicate the structural relation, we find substantial evidence against the overidentifying restrictions of an augmented model, this is evidence against underidentification of the original model. To diagnose how…

非线性与时间依赖AI 解读

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: [rho]-mixing, [beta]-mixing and [alpha]-mixing. Stationary diffusions that are [rho]-mixing have mixing coefficients that decay exponentially to zero. When they fail to be [rho]-mixing, they are still [beta]-mixing and [alpha]-mixing; but coefficient decay is slower than exponential. For such processes we…

非线性主成分与多元扩散过程的长期含义AI 解读

We investigate a method for extracting nonlinear principal components (NPCs). These NPCs maximize variation subject to smoothness and orthogonality constraints; but we allow for a general class of constraints and multivariate probability densities, including densities without compact support and even densities with algebraic tails. We provide primitive sufficient conditions for the existence of these NPCs. By exploiting the theory of continuous-time, reversible Markov…

摘要暂缺

若干 GMM 估计量的有限样本性质AI 解读

The authors investigate the small sample properties of three alternative generalized method of moments estimators of asset pricing models. The estimators that they consider include ones in which the weighting matrix is iterated to convergence and ones in which the weighting matrix is changed with each choice of the parameters. Particular attention is devoted to assessing the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM…

具有移动平均误差的线性资产定价模型的有效估计AI 解读

This paper studies alternative methods for estimating parameters from multiperiod conditional moment restrictions. The authors' discussion is couched in the context of a multivariate linear time series model and they use the log-linear intertemporal asset pricing model as a prototype when comparing alternative econometric methods. They propose a generalized method of moments estimator that is scale invariant and is asymptotically equivalent to one used previously in…

回到未来：构造连续时间马尔可夫过程的矩条件AI 解读

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discrete-time data obtained…

利用资产支付的条件矩推断跨期边际替代率波动AI 解读

Previously Hansen and Jagannathan (1990a) derived and computed mean-standard deviation frontiers for intertemporal marginal rates of substitution (IMRS) implied by asset market data. These frontiers give the lower bounds on the standard deviations as a function of the mean. In this paper we develop a strategy for utilizing conditioning information efficiently, and hence improve on the standard deviation bounds computed by Hansen and Jagannathan. We implement this strategy…

利用总量时间序列估计跨期替代模型AI 解读

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time.In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach.Our empirical analyses focuses on three questions: (1) Can the services from durable and…

多期条件矩限制所蕴含的效率界AI 解读

In this article we study a class of econometric models that imply a set of multiperiod conditional moment restrictions. These restrictions depend on an unknown parameter vector. We construct an extensive class of consistent, asymptotically normal estimators of this parameter vector and calculate the greatest lower bound for the asymptotic covariance matrices of estimators in this class. In so doing, we extend results reported by Hansen (1985) and Stoica, Söderström, and…

摘要暂缺

《基于金融市场数据的结构参数广义矩估计量的统计性质》评论（Hansen）AI 解读

Lars Peter Hansen, [Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 4 (Oct., 1986), pp. 418-421

广义矩估计量渐近协方差矩阵下界的计算方法AI 解读

For many time series estimation problems, there is an infinite-dimensional class of generalized method of moments estimators that are consistent and asymptotically normal. This paper suggests a procedure for calculating the greatest lower bound for the asymptotic covariance matrices of such estimators. The analysis focuses on estimation problems in which the data are generated by a stochastic process that is stationary and ergodic. The calculation of the bound uses…

非线性理性预期模型的广义工具变量估计AI 解读

This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.

有理谱密度模型中混叠问题的维度AI 解读

This paper reconsiders the aliasing problem of identifying the parameters of a continuous time stochastic process from discrete time data. It analyzes the extent to which restricting attention to processes with rational spectral density matrices reduces the number of observationally equivalent models. It focuses on rational specifications of spectral density matrices since rational parameterizations are commonly employed in the analysis of the time series data.

非线性理性预期模型的广义工具变量估计AI 解读

This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.

广义矩估计量的大样本性质AI 解读

This paper studies estimators that make sample analogues of population orthogonality conditions close to zero. Strong consistency and asymptotic normality of such estimators is established under the assumption that the observable variables are stationary and ergodic. Since many linear and nonlinear econometric estimators reside within the class of estimators studied in this paper, a convenient summary of the large sample properties of these estimators, including some whose…