Calvet, Laurent E.; Czellar, Veronika - 2013
This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a … systems naturally generates auxiliary equilibria that can serve as building blocks for estimation. We use this insight to … develop an accurate estimator for the long-run risk model of Bansal and Yaron (2004). We demonstrate the accuracy of our …
