An Estimation of Economic Models with Recursive Preferences

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Recursive estimation of generative video models

We present a generative model of video for which the learning procedure automatically clusters video frames into scenes and objects. The learning algorithm is based on a recursive hierarchical procedure which can be shown to converge and for which some guarantees on the local optimality of the resulting log-likelihood of the data can be given. In the previous work we presented generative model ...

متن کامل

An Equilibrium Term Structure Model with Recursive Preferences

Equilibrium, affine asset pricing models with L. Epstein and S. Zin (1989)’s preferences typically generate time-variation in risk premiums through time variation in the quantity of risks, with the market prices of risks (MPR) held constant. This is true of models with built in longrun consumption risks (LRR) (e.g., R. Bansal and A. Yaron (2004), R. Bansal, D. Kiku and A. Yaron (2009)), as well...

متن کامل

Recursive Estimation in Hidden Markov Models

We consider a hidden Markov model (HMM) with multidimensional observations, and where the coefficients (transition probability matrix, and observation conditional densities) depend on some unknown parameter. We study the asymptotic behaviour of two recursive estimators, the recursive maximum likelihood estimator (RMLE), and the recursive conditional least squares estimator (RCLSE), as the numbe...

متن کامل

Recursive estimation in autoregressive models with additive outliers

This work deals with recursive robust estimation in autoregressive models that are contaminated by additive outliers. The importance of such procedures in applied time series is obvious: (i) the recursive character of the estimation allows to treat time series in real time (on-line) updating previous estimates by means of simple calculations after delivering new observations; (ii) robustness of...

متن کامل

Consumption and Asset Prices with Recursive Preferences

We analyze consumption and asset pricing with recursive preferences given by Kreps–Porteus stochastic differential utility (K–P SDU). We show that utility depends on two state variables: current consumption and a second variable (related to the wealth–consumption ratio) that captures all information about future opportunities. This representation of utility reduces the internal consistency cond...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2008

ISSN: 1556-5068

DOI: 10.2139/ssrn.1105136