A New Approach to Estimation of Stochastic Euler Equations

In this note, we propose an estimator for continuous-choice dynamic structural models. Our approach expands the class of models that can be estimated using the GMM methods in Hansen and Singleton (1982) by leveraging a theoretical result on stochastic Euler equations from Acemoglu (2009). We demonstrate our approach by recovering the parameters of the reservoir manager’s dynamic decision problem

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Year of publication:	[2023]
Authors:	Costello, Christopher ; Plantinga, Andrew
Publisher:	[S.l.] : SSRN
Subject:	Variationsrechnung \| Variational method \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Stochastischer Prozess \| Stochastic process

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 14, 2023 erstellt
Other identifiers:	10.2139/ssrn.4540726 [DOI]
Classification:	c26 ; Q25 - Water
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014345442