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Generalized Method of Moments in Python: Estimating Euler Equations
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@laozhang1314
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laozhang1314 commented Feb 13, 2018 •
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Hi, Josef! Where can I find the data?

@Junga1987
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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.

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