ABSTRACT Statisticians often use Monte Carlo methods to approximate probability
distributions, primarily with Markov chain Monte Carlo and importance sampling. Sequential …

We estimate and test long-run risk models using international macroeconomic and financial
data. The benchmark model features a representative agent who has recursive preferences …

In this paper, we extend the existing generalized transform analysis in a way that allows us
to propose a novel GMM approach for estimating asset pricing models. Our methodology is …

Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian
state-space models with high-dimensional and complex structures. We propose an …

We estimate and test long-run risk models using international macroeconomic and financial
data. The benchmark model features a representative agent who has recursive preferences …

This paper studies semiparametric identification and estimation of consumption-based asset
pricing models with latent state variables. First, we measure how consumption, dividends …