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- W4300528288 abstract "This paper develops an indirect inference (Gourieroux et al., 1993; Smith, 1993) estimation method for a large class of dynamic equilibria. Our approach consists of constructing econometrically tractable auxiliary equilibria, obtained by simplifying the economic primitives of the structural equilibrium model, via which estimation can proceed. We use this approach to develop an accurate estimator for the long-run risk model of Bansal and Yaron (2004). We demonstrate the method in Monte Carlo simulations and implement it on U.S. data. We also illustrate the good performance of the proposed methodology on an equilibrium model with investor learning." @default.
- W4300528288 created "2022-10-03" @default.
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- W4300528288 date "2015-04-01" @default.
- W4300528288 modified "2023-10-02" @default.
- W4300528288 title "Through the looking glass: Indirect inference via simple equilibria" @default.
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- W4300528288 doi "https://doi.org/10.1016/j.jeconom.2014.11.003" @default.
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