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The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems

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  • Pozzi, Lorenzo
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    File URL: http://www.sciencedirect.com/science/article/B6VB1-46X2KD7-1/2/870269c9869a187466206df9e8f74f20
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    Bibliographic Info

    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 20 (2003)
    Issue (Month): 5 (September)
    Pages: 923-940

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    Handle: RePEc:eee:ecmode:v:20:y:2003:i:5:p:923-940

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    Web page: http://www.elsevier.com/locate/inca/30411

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    1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
    2. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-80, July.
    3. Aschauer, David Alan, 1985. "Fiscal Policy and Aggregate Demand," American Economic Review, American Economic Association, vol. 75(1), pages 117-27, March.
    4. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    5. Reinhart, Carmen & Ogaki, Masao, 1995. "Measuring intertemporal substitution: The role of durable goods," MPRA Paper 13690, University Library of Munich, Germany.
    6. Robert E. Hall, 1988. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
    7. Campbell, John Y & Mankiw, N Gregory, 1990. "Permanent Income, Current Income, and Consumption," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(3), pages 265-79, July.
    8. Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-65, April.
    9. Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, vol. 26(2), pages 285-304, October.
    10. van Dalen, Hendrik P., 1999. "Intertemporal substitution in public and private consumption -- long-run evidence from the US and the UK," Economic Modelling, Elsevier, vol. 16(3), pages 355-370, August.
    11. G. Constantinides, 1990. "Habit formation: a resolution of the equity premium puzzle," Levine's Working Paper Archive 1397, David K. Levine.
    12. Fuhrer, Jeffrey C. & Moore, George R. & Schuh, Scott D., 1995. "Estimating the linear-quadratic inventory model Maximum likelihood versus generalized method of moments," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 115-157, February.
    13. Karras, Georgios, 1994. "Government Spending and Private Consumption: Some International Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 9-22, February.
    14. Ni, Shawn, 1995. "An empirical analysis on the substitutability between private consumption and government purchases," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 593-605, December.
    15. Ferson, Wayne E. & Foerster, Stephen R., 1994. "Finite sample properties of the generalized method of moments in tests of conditional asset pricing models," Journal of Financial Economics, Elsevier, vol. 36(1), pages 29-55, August.
    16. Evans, Paul, 1988. "Are Consumers Ricardian? Evidence for the United States," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 983-1004, October.
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    Cited by:
    1. Ahmed, Waqas & Haider, Adnan & Iqbal, Javed, 2012. "Estimation of discount factor (beta) and coefficient of relative risk aversion (gamma) in selected countries," MPRA Paper 39736, University Library of Munich, Germany.
    2. Doris, Aedin & O'Neill, Donal & Sweetman, Olive, 2010. "Identification of the Covariance Structure of Earnings Using the GMM Estimator," IZA Discussion Papers 4952, Institute for the Study of Labor (IZA).
    3. Waqas Ahmed & Adnan Haider & Javed Iqbal, 2012. "Estimation of Discount Factor ß and Coefficient of Relative Risk Aversion ? in Selected Countries," Working Papers id:5087, eSocialSciences.

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