Estimation and testing of Euler equation models with time-varying reduced-form coefficients

Journal of Econometrics

Volumn 142, Issue 1, 2008, Pages 425-448

  Li, Hong ^a  

^a BRANDEIS UNIVERSITY   (United States)

Author keywords

Euler equations; Model evaluation and testing; Parameter instability

Indexed keywords

MATHEMATICAL MODELS; SYSTEM STABILITY; TIME VARYING SYSTEMS;

MODEL EVALUATION; PARAMETER INSTABILITY; TIME-INVARIANT SECOND-STEP MODELS;

EULER EQUATIONS;

EID: 36148962336     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.07.002     Document Type: Article

References (29)

1. Andrews D., and Ploberger W. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62 (1994) 1383-1414
2. Andrews D., Lee I., and Ploberger W. Optimal change-point tests for normal linear regressions. Journal of Econometrics 70 (1996) 9-38
3. Benhabib J., and Eusepi S. The design of monetary and fiscal policy: a global perspective. Journal of Economic Theory 123 (2005) 40-73
4. Bernanke B., Gertler M., and Watson M. Systematic monetary policy and the effects of oil price shocks. Brookings Papers on Economic Activity 1 (1997) 91-142
5. Boivin J. Has U.S. monetary policy changed? evidence from drifting coefficients and real-time data. Journal of Money, Credit and Banking 38 (2006) 1149-1174
6. Campbell J., and Shiller R. Cointegration and tests of present value models. Journal of Political Economy 95 (1987) 1062-1088
7. Dupor W. Investment and interest rate policy. Journal of Economic Theory 98 (2001) 85-113
8. Elliott G., and Müller U. Efficient tests for general persistent time variation in regression coefficients. Review of Economic Studies 73 (2006) 907-940
9. Engle R. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50 (1982) 987-1007
10. Fuhrer J., and Moore G. Inflation persistence. Quarterly Journal of Economics 110 (1995) 127-160
11. Ghysels E., and Hall A. A test for structural stability of Euler conditions parameters estimated via the generalized method of moments estimator. International Economic Review 31 (1990) 355-364
12. Ghysels E., and Hall A. Are consumption-based intertemporal capital asset pricing models structural. Journal of Econometrics 45 (1990) 121-139
13. Hall A. Generalized Method of Moments (2005), Oxford University Press, Oxford
14. Hall A., and Sen A. Structural stability testing in models estimated by generalized method of moments. Journal of Business and Economics Statistics 17 (1999) 335-348
15. Hansen L. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
16. Hayashi F. Econometrics (2000), Princeton University Press, Princeton, NJ
17. Lettau M., and Ludvigson S. Consumption aggregate wealth and expected stock returns. Journal of Finance 56 (2001) 815-849
18. Li, H., Müller, U., 2006. Valid inference in partially unstable GMM models. Manuscript, Brandeis University.
19. Lucas R. Econometric policy evaluation: a critique. Carnegie-Rochester Conference Series on Public Policy 1 (1976) 19-46
20. Newey W., and McFadden D. Large sample estimation and hypothesis testing. In: Engle R., and McFadden D. (Eds). Handbook of Econometrics vol. 4 (1994), North-Holland, Amsterdam 2111-2245
21. Nyblom J. Testing for the constancy of parameters over time. Journal of American Statistical Association 78 (1989) 856-864
22. Oliner S., Rudebusch G., and Sichel S. The Lucas critique revisited: assessing the stability of empirical Euler equations for investment. Journal of Econometrics 70 (1996) 291-316
23. Quandt R. Tests of the hypothesis that a linear regression obeys two separate regimes. Journal of the American Statistical Association 55 (1960) 324-330
24. Rossi B. Optimal tests for nested model selection with underlying parameter instability. Econometric Theory 21 (2005) 962-990
25. Saikkonen P., and Luukonen R. Point optimal test for testing the order of differencing in ARIMA model. Econometric Theory 9 (1993) 343-362
26. Sargent T. A note on maximum likelihood estimation of the rational expectations models of the term structure. Journal of Monetary Economics 5 (1979) 133-143
27. Shively T. An exact test of a stochastic coefficient in a time series regression model. Journal of Time Series Analysis 9 (1988) 81-88
28. Stock J., and Watson M. Evidence on structural instability in macroeconomic time series relations. Journal of Business and Economic Statistics 14 (1996) 11-29
29. Stock J., and Watson M. Median unbiased estimation of coefficient variance in a time-varying parameter model. Journal of American Statistical Association 93 (1998) 349-358