Publication:
Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDolado, Juan José
dc.contributor.authorBanerjee, Anindya
dc.contributor.authorGalbraith, John W.
dc.date.accessioned2009-01-30T11:54:54Z
dc.date.available2009-01-30T11:54:54Z
dc.date.issued1991
dc.description.abstractWe consider the estimation of parameters in Euler equations where regressand and regressors may be nonstationary, and propose a several-stage procedure requiring only knowledge of the Euler equation and the order of integration of the data. This procedure uses the information gained from pre-testing for the order of integration of data series to improve specification and estimation. We can also offer an explanation of the frequent empirical finding that discount rates and adjustment costs are poorly estimated. Both analytical and experimental (Monte Carlo) results are provided.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationInternational Economic Review, 1991, 32, p. 919-936
dc.identifier.issn0020-6598
dc.identifier.urihttps://hdl.handle.net/10016/3320
dc.language.isoeng
dc.publisherBlackwell
dc.relation.publisherversionhttp://www.jstor.org/pss/2527043
dc.rights© Blackwell
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.titleEstimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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