Fat tails and spurious estimation of consumption‐based asset pricing models
研究发现，在厚尾分布下，标准广义矩方法估计异质性代理人消费资产定价模型会产生不一致估计和假阳性错误，而按年龄分组可缓解两类错误。
Summary The standard generalized method of moments (GMM) estimation of Euler equations in heterogeneous‐agent consumption‐based asset pricing models is inconsistent under fat tails because the GMM criterion is asymptotically random. To illustrate this, we generate asset returns and consumption data from an incomplete‐market dynamic general equilibrium model that is analytically solvable and exhibits power laws in consumption. Monte Carlo experiments suggest that the standard GMM estimation is inconsistent and susceptible to Type II errors (incorrect nonrejection of false models). Estimating an overidentified model by dividing agents into age cohorts appears to mitigate Type I and II errors.