Estimating the Euler Equation Using a Large Set of Instruments
Roman Goncharenko
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Estimating the Euler Equation Using a Large Set of Instruments

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This monograph presents the instrumental variable estimation of the Euler equation and the system of Euler equations from the basic Consumption - based Capital Asset Pricing Model (C-CAPM) using a large set of possible instruments. This large set of possible instruments is due to the Rational Expectation Hypothesis. The optimal GMM estimator, which is used in the estimation, has a finite sample bias proportional to the number of instruments. This means that there is a need of the efficient instrument dimension reduction method. The two different methods of such a reduction are compared: the FI...