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Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models: With an Application to Asset Pricing under Skewness Risk

Serie

  • Cahiers de recherche

Resumen

  • This paper proposes a nonlinear impulse-response matching procedure explicitly designed to estimate nonlinear dynamic models and illustrates its applicability by estimating a macro-finance model of asset pricing under skewness risk. As auxiliary model, a new class of nonlinear vector autoregressions (NVAR) based on Mittnik (1990) is proposed.

fecha de publicación

  • 2014

Líneas de investigación

  • Nonlinear Impulse Responses
  • Nonlinear Vector Autoregression
  • Skewness Risk

Issue

  • 15-2014