Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series

Juan Dolado, John Galbraith and Anindya Banerjee

International Economic Review, 1991, vol. 32, issue 4, 919-36

Abstract: The authors consider the estimation of parameters in Euler equations where regressand and regressors may be nonstationary, and propose a several-stage procedure requiring only knowledge of the Euler equation and the order of integration of the data. This procedure uses the information gained from pretesting for the order of integration of data series to improve specification and estimation. The authors can also offer an explanation of the frequent empirical finding that discount rates and adjustment costs are poorly estimated. Both analytical and experimental (Monte Carlo) results are provided. Copyright 1991 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://links.jstor.org/sici?sici=0020-6598%2819911 ... O%3B2-K&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series (1991)
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:ier:iecrev:v:32:y:1991:i:4:p:919-36

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598
subscrip@blackwellpub.com

Access Statistics for this article

International Economic Review is currently edited by Harold L. Cole

More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297. Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing (jdl@wiley.com) and (baum@bc.edu).