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Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem?
16 references·0 citing·39 second hop
Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem? (2013)Estimating the elasticity of intertempora…Testing Parameters in GMM Without Assuming that They Are Identified (2005)Testing Parameters in GMM Wit…Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak (2004)Estimating the Elasticity of …Limited Asset Market Participation and the Elasticity of Intertemporal Substitution (2002)Limited Asset Market Particip…The life-cycle model of consumption and saving (2001)The life-cycle model of consu…The Life-Cycle Model of Consumption and Saving (2001)The Life-Cycle Model of Consu…Board of Governors of the Federal Reserve System (2001)Board of Governors of the Fed…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …NBER macroeconomics annual 1987 (1989)NBER macroeconomics annual 19…Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Consumption, Income, and Inte…Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Intertemporal Substitution in Consumption (1981)Intertemporal Substitution in…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)An Intertemporal Capital Asset Pricing Model (1973)The equity premium: A puzzle (1985)Optimal Investment, Growth Options, and Security Returns (1998)The Economics and Psychology of Personality Traits (2008)Expected Stock Returns and Variance Risk Premia (2009)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Chapter 18 A survey of behavioral finance (2003)Asset Prices under Habit Formation and Catching up with the Joneses (1990)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)GMM Estimation of Empirical Growth Models (2001)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)Stock Return Predictability: Is it There? (2001)Bad Beta, Good Beta (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Econometric policy evaluation: A critique (1976)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)A Demand System Approach to Asset Pricing (2018)Does Climate Change Affect Real Estate Prices? Only If You Believe In It (2018)The Economic Impacts of COVID-19: Evidence from a New Public Database Built Using Private Sector Data (2020)
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References

  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1981Intertemporal Substitution in Consumption1,397 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 2001Board of Governors of the Federal Reserve System1,130 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 2002Limited Asset Market Participation and the Elasticity of Intertemporal Substitution1,011 cited
  • 1989NBER macroeconomics annual 1987923 cited
  • 2001The Life-Cycle Model of Consumption and Saving704 cited
  • 2004Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak413 cited
  • 2005

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Testing Parameters in GMM Without Assuming that They Are Identified
361 cited
  • 2001The life-cycle model of consumption and saving246 cited
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