Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models: With an Application to Asset Pricing under Skewness Risk

Francisco Ruge-Murcia

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: This paper proposes a nonlinear impulse-response matching procedure explicitly designed to estimate nonlinear dynamic models, and illustrates its applicability by estimating a macro-fi nance model of asset pricing under skewness risk. As auxiliary model, a new class of nonlinear vector autoregressions (NVAR) based on Mittnik (1990) is proposed.

Keywords: nonlinear vector autoregression; nonlinear impulse responses; skewness risk (search for similar items in EconPapers)
JEL-codes: C51 C58 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2014
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:15-2014

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