Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators.
In this paper we exploit the speci…c structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The …rst estimator assumes that the measurement error is lognormally distributed. The second estimator drops the distribu- tional assumption an...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2006
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