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Fat tails and spurious estimation of consumption-based asset pricing models (...
The standard generalized method of moments (GMM) estimation of Euler equations in heterogeneous-agent consumption-based asset pricing models is inconsistent under fat tails... -
Efficient estimation of factor models with time and cross-sectional dependenc...
This paper studies the efficient estimation of large-dimensional factor models with both time and cross-sectional dependence assuming (N,T) separability of the covariance... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
Anchoring the yield curve using survey expectations (replication data)
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have...
