Department of Economics and Business Economics

Estimating dynamic equilibrium models using mixed frequency macro and financial data

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Estimating dynamic equilibrium models using mixed frequency macro and financial data. / Christensen, Bent Jesper; Posch, Olaf; Van Der Wel, Michel.

In: Journal of Econometrics, Vol. 194, No. 1, 01.09.2016, p. 116-137.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Christensen BJ, Posch O, Van Der Wel M. Estimating dynamic equilibrium models using mixed frequency macro and financial data. Journal of Econometrics. 2016 Sep 1;194(1):116-137. doi: 10.1016/j.jeconom.2016.04.005

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Bibtex

@article{c31819ef998c4e018265cedc61545bba,
title = "Estimating dynamic equilibrium models using mixed frequency macro and financial data",
abstract = "We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently accounts for the difference in observation frequency. We suggest the use of martingale estimating functions (MEF) to infer the structural parameters of the model directly through a nonlinear scheme. This method is compared to regression-based methods and the generalized method of moments (GMM). We illustrate our approaches by estimating various versions of the AK-Vasicek model with mean-reverting interest rates. We provide asymptotic theory and Monte Carlo evidence on the small sample behavior of the estimators and report empirical estimates using 30 years of US macro and financial data.",
keywords = "AK-Vasicek model, Martingale estimating function, Structural estimation",
author = "Christensen, {Bent Jesper} and Olaf Posch and {Van Der Wel}, Michel",
year = "2016",
month = sep,
day = "1",
doi = "10.1016/j.jeconom.2016.04.005",
language = "English",
volume = "194",
pages = "116--137",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Estimating dynamic equilibrium models using mixed frequency macro and financial data

AU - Christensen, Bent Jesper

AU - Posch, Olaf

AU - Van Der Wel, Michel

PY - 2016/9/1

Y1 - 2016/9/1

N2 - We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently accounts for the difference in observation frequency. We suggest the use of martingale estimating functions (MEF) to infer the structural parameters of the model directly through a nonlinear scheme. This method is compared to regression-based methods and the generalized method of moments (GMM). We illustrate our approaches by estimating various versions of the AK-Vasicek model with mean-reverting interest rates. We provide asymptotic theory and Monte Carlo evidence on the small sample behavior of the estimators and report empirical estimates using 30 years of US macro and financial data.

AB - We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently accounts for the difference in observation frequency. We suggest the use of martingale estimating functions (MEF) to infer the structural parameters of the model directly through a nonlinear scheme. This method is compared to regression-based methods and the generalized method of moments (GMM). We illustrate our approaches by estimating various versions of the AK-Vasicek model with mean-reverting interest rates. We provide asymptotic theory and Monte Carlo evidence on the small sample behavior of the estimators and report empirical estimates using 30 years of US macro and financial data.

KW - AK-Vasicek model

KW - Martingale estimating function

KW - Structural estimation

UR - http://www.scopus.com/inward/record.url?scp=84971351111&partnerID=8YFLogxK

U2 - 10.1016/j.jeconom.2016.04.005

DO - 10.1016/j.jeconom.2016.04.005

M3 - Journal article

AN - SCOPUS:84971351111

VL - 194

SP - 116

EP - 137

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -