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Åpent seminar i økonomi og finans 20. januar 2012

Velkommen til åpent seminar fredag 20. januar kl 11:30 med Benjamin Holcblat, fra Carnegie Mellon University Tepper School of Business. Tittel: Estimating Consumption-Based Asset Pricing Models The ESP Approach.

Abstract: In consumption-based asset pricing, estimates of the relative risk aversion and the elasticity of intertemporal substitution from similar data sets and models change considerably. Two main reasons have been found: lack of identification, and the gap between econometric asymptotic results and practice, which is based on bounded samples.

This paper develops an estimation framework to handle this instability. We call it the ESP approach because it is based on the empirical saddlepoint approximation of the finite-sample distribution of the solutions to empirical moment conditions. We establish consistency, and prove robustness to lack of identification. The ESP approach combines strengths of the Bayesian and existing classical approach. Simulations of a standard consumption- based asset pricing model show that the ESP approach performs similarly to, or clearly outperforms, the best existing estimation approaches. The ESP approach can be successfully used in other areas that face challenges similar to those faced in empirical consumption-based asset pricing.

Les mer om Benjamin Holcblat her.

Tid: Fredag 20. januar kl. 11.30

Seminarsted:Ellen & Axel Lunds hus, rom H-125 kl 11:30.

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