RT Journal Article
T1 Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
A1 Dolado, Juan José
A1 Banerjee, Anindya
A1 Galbraith, John W.
AB We 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.
PB Blackwell
SN 0020-6598
YR 1991
FD 1991
LK https://hdl.handle.net/10016/3320
UL https://hdl.handle.net/10016/3320
LA eng
DS e-Archivo
RD 19 may. 2024