The econometric analysis of models with risk terms
提出利用信息集变量与未预期变量高阶矩的正交条件，用工具变量法一致估计风险项参数，并检验了四种常用方法，应用于美元/加元汇率市场和价格不确定性对生产的影响。
Abstract In this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions between variables in the information set and higher‐order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments constructed from the information set. Four existing methods commonly used to estimate models with risk terms are examined, and applications of the techniques are made to the estimation of the risk term in the $US/$C exchange market, and the effects of price uncertainty upon production.