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

DOI10.1016/J.JECONOM.2007.07.002zbMath1418.62508OpenAlexW2086997817MaRDI QIDQ290971

Hong Li

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.07.002

zbMATH Keywords

Euler equationsparameter instabilitymodel evaluation and testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Inflation Persistence
• Investment and interest rate policy

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