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Consistency of a method of moments estimator based on numerical solutions to asset pricing models

dc.contributor.author Burnside, C
dc.date.accessioned 2010-06-28T18:49:30Z
dc.date.issued 1993-01-01
dc.identifier.issn 0266-4666
dc.identifier.uri https://hdl.handle.net/10161/2533
dc.description.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.
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher Cambridge University Press (CUP)
dc.relation.ispartof Econometric Theory
dc.relation.isversionof 10.1017/S0266466600008008
dc.title Consistency of a method of moments estimator based on numerical solutions to asset pricing models
dc.type Journal article
dc.relation.journal Econometric Theory
pubs.begin-page 602
pubs.end-page 632
pubs.issue 4
pubs.organisational-group Duke
pubs.organisational-group Economics
pubs.organisational-group Trinity College of Arts & Sciences
pubs.publication-status Published
pubs.volume 9
dc.identifier.eissn 1469-4360


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