Consistency of a method of moments estimator based on numerical solutions to asset pricing models
Abstract
This paper considers the properties of estimators based on numerical solutions to
a class of economic models. In particular, the numerical methods discussed are those
applied in the solution of linear integral equations, specifically Fredholm equations
of the second kind. These integral equations arise out of economic models in which
endogenous variables appear linearly in the Euler equations, but for which easily
characterized solutions do not exist. Tauchen and Hussey [24] have proposed the use
of these methods in the solution of the consumption-based asset pricing model. In
this paper, these methods are used to construct method of moments estimators where
the population moments implied by a model are approximated by the population moments
of numerical solutions. These estimators are shown to be consistent if the accuracy
of the approximation is increased with the sample size. This result depends on the
solution method having the property that the moments of the approximate solutions
converge uniformly in the model parameters to the moments of the true solutions. ©
1993, Cambridge University Press. All rights reserved.
Type
Journal articlePermalink
https://hdl.handle.net/10161/2533Published Version (Please cite this version)
10.1017/S0266466600008008Publication Info
Craig Burnside, A (1993). Consistency of a method of moments estimator based on numerical solutions to asset
pricing models. Econometric Theory, 9(4). pp. 602-632. 10.1017/S0266466600008008. Retrieved from https://hdl.handle.net/10161/2533.This is constructed from limited available data and may be imprecise. To cite this
article, please review & use the official citation provided by the journal.
Collections
More Info
Show full item record
Articles written by Duke faculty are made available through the campus open access policy. For more information see: Duke Open Access Policy
Rights for Collection: Scholarly Articles
Works are deposited here by their authors, and represent their research and opinions, not that of Duke University. Some materials and descriptions may include offensive content. More info