Skip to content

Instantly share code, notes, and snippets.

Embed
What would you like to do?
Generalized Method of Moments in Python: Estimating Euler Equations
Sorry, something went wrong. Reload?
Sorry, we cannot display this file.
Sorry, this file is invalid so it cannot be displayed.
@laozhang1314

This comment has been minimized.

Copy link

commented Feb 13, 2018

Hi, Josef! Where can I find the data?

@Junga1987

This comment has been minimized.

Copy link

commented Feb 20, 2018

Hi Josef, how would you modify the code if my Euler equation is the following: E[ I^-1 \sum_{i=1}^{I} \frac{C_{it}}{C_{it-1}}(R_{jt}-R_{ft})]. In other words, consider the Euler equation on household, subscripted by i, level and then taken average over all i's. This is a form of Euler equation listed Brav, Constantinides, and Geczy (2002) Journal of Political Economy paper. Any comment/suggestion to model this would be great help as I am new to Python programming and trying to replicate their results using Python. Thank you.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
You can’t perform that action at this time.