EconPapers    
Economics at your fingertips  
 

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift

Pentti Saikkonen and Antti Ripatti

Manchester School, 2000, vol. 68, issue s1, 92-121

Abstract: The concept of a peso problem is formalized in terms of a linear Euler equation and a non‐linear marginal model describing the dynamics of the exogenous variable driving the process. It is shown that, using a threshold autoregressive model as a marginal model, it is possible to produce time‐varying peso premia. A Monte Carlo method and a method based on the numerical solution of integral equations are considered as tools for computing conditional future expectations in the marginal model. A Monte Carlo study illustrates the poor performance of the generalized method of moments estimator in small and even relatively large samples. The poor performance is particularly acute in the presence of a peso problem but is also serious in the simple linear case.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://doi.org/10.1111/1467-9957.68.s1.6

Related works:
Working Paper: On the estimation of Euler equations in the presence of a potential regime shift (1999) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:manchs:v:68:y:2000:i:s1:p:92-121

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

 
Page updated 2024-07-01
Handle: RePEc:bla:manchs:v:68:y:2000:i:s1:p:92-121