Concepedia

Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem?

Fábio Augusto Reis Gomes, Lourenço S. Paz

Journal of Macroeconomics · 2013 · 19 citations · 23 references

Concepts

Empirical FinanceEconometric ModelEconomicsFinancial EconomicsAsset PricingMacroeconomicsAggregate Financial ReturnFinancial EconometricsWeak Instrument ProblemBusinessEconomic AnalysisEconometricsEconomic FluctuationElasticity (Economics)FinanceIntertemporal Substitution

References

23

Instrumental Variables Regression with Weak Instruments

Douglas O. Staiger, James H. Stock · Econometrica · 1997 · 7.1K citations

Econometric Model, Economics, Instrumental Variables Regression +15

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Larry G. Epstein, Stanley E. Zin · Econometrica · 1989 · 4.4K citations

Automatic Lag Selection in Covariance Matrix Estimation

Whitney K. Newey, Kenneth D. West · The Review of Economic Studies · 1994 · 3.3K citations

Generalized reduced rank tests using the singular value decomposition

Frank Kleibergen, Richard Paap · Journal of Econometrics · 2005 · 2.6K citations

Generalized Reduced Rank, Engineering, Multilinear Subspace Learning +3

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

Larry G. Epstein, Stanley E. Zin · Journal of Political Economy · 1991 · 1.8K citations