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摘要翻译：
我们提出了一种调和结构估计和推断的两种流行方法的方法：使用一个完整而近似的模型，而不是强加一组可信的行为条件。这是通过扭曲近似模型来满足这些条件。我们提供了渐近理论和蒙特卡罗证据，并说明了反事实实验是可能的。我们将该方法应用于总消费的长期风险模型（Bansal and Yaron，2004)，其中完整的模型是使用Campbell and Shiller(1988)近似生成的。利用美国数据，我们研究了被忽略的非线性的经验重要性。我们发现，数据强烈倾向于扭曲模型以满足非线性平衡条件，而近似的质量是跨期替代弹性估计向下偏差和风险厌恶估计向上偏差的另一个原因。
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英文标题：
《Equilibrium Restrictions and Approximate Models -- With an application
to Pricing Macroeconomic Risk》
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作者：
Andreas Tryphonides
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
We propose a method that reconciles two popular approaches to structural estimation and inference: Using a complete - yet approximate model versus imposing a set of credible behavioral conditions. This is done by distorting the approximate model to satisfy these conditions. We provide the asymptotic theory and Monte Carlo evidence, and illustrate that counterfactual experiments are possible. We apply the methodology to the model of long run risks in aggregate consumption (Bansal and Yaron, 2004), where the complete model is generated using the Campbell and Shiller (1988) approximation. Using US data, we investigate the empirical importance of the neglected non-linearity. We find that distorting the model to satisfy the non-linear equilibrium condition is strongly preferred by the data while the quality of the approximation is yet another reason for the downward bias to estimates of the intertemporal elasticity of substitution and the upward bias in risk aversion.
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PDF链接：
https://arxiv.org/pdf/1805.10869
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