Estimation of dynamic asset pricing models based on Generalized Method of moments is known to be inefficient and biased. One strand of the literature has provided more efficient estimators based on moment conditions. Here, we present an estimation method based on the numerical solution of the...

Empirical investigations of analyts forecast surveys concerning financial or macroeconomic variables find significant time varying biases such as autocorrelation in the time series of forecast errors. This fact is usually attributed to behavioural biases of analysts. We develop a random...