Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103139
Authors: 
Christensen, Bent Jesper
Posch, Olaf
van der Wel, Michel
Year of Publication: 
2014
Series/Report no.: 
CESifo Working Paper 5030
Abstract: 
We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation frequency. We suggest the use of martingale estimating functions (MEF) to infer the structural parameters of the model directly through a nonlinear optimization scheme. This method is compared to regression-based methods and the general method of moments (GMM). We illustrate our approaches by estimating the AK-Vasicek model with mean-reverting interest rates. We provide Monte Carlo evidence on the small sample behavior of the estimators and report empirical estimates using 30 years of U.S. macro and financial data.
Subjects: 
structural estimation
AK-Vasicek model
Martingale estimating function
JEL: 
C13
E32
O40
Document Type: 
Working Paper

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