Estimating Euler equations with noisy data: two exact GMM estimators

In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator assumes that the measurement error is lognormally distributed. The second estimator drops the distributional assumption an...

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Bibliographic Details
Main Authors: Browning, M, Alan, S, Attanasio, O
Format: Working paper
Published: University of Oxford 2006