Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship

DOI10.1016/0165-1889(89)90001-8zbMath0671.62110OpenAlexW2048405314MaRDI QIDQ1119322

Bong-Soo Lee

Publication date: 1989

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(89)90001-8

zbMATH Keywords

productioninflationmoneyequilibrium modeloveridentifying restrictionsasset returnsbackwards-mapping methodGMM proceduresnonlinear stochastic asset pricing modelnonlinear stochastic equilibrium model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20) General equilibrium theory (91B50) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Estimating simultaneous equations models by a simulation technique ⋮ Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship ⋮ Equilibrium interest-rate determination under adjustment costs ⋮ Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy ⋮ Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy ⋮ Equilibrium implications of interest rate smoothing

Cites Work

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• Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship
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• Simulation and the Asymptotics of Optimization Estimators
• Comparative Dynamics and Risk Premia in an Overlapping Generations Model
• Time to Build and Aggregate Fluctuations
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• A new look at the statistical model identification

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