Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
AbstractWe 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.
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Bibliographic InfoPaper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 99111.
Length: 32 pages
Date of creation: 1991
Date of revision:
econometrics ; information ; time series;
Other versions of this item:
- Dolado, Juan & Galbraith, John W & Banerjee, Anindya, 1991. "Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(4), pages 919-36, November.
- Dolado, Juan José & Banerjee, Anindya & Galbraith, John W., . "Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3320, Universidad Carlos III de Madrid.
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- Gregory, Allan W. & Nason, James M. & Watt, David G., 1996. "Testing for structural breaks in cointegrated relationships," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 321-341.
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