Generalized spectral estimation of the consumption-based asset pricing model

This paper provides a framework for estimating parameters of a wide class of dynamic rational expectations models in the frequency domain. The approach is particularly useful for models that are meant to match the data only in limited ways. Specifically, this holds when interest is focused on a subset of frequencies. The estimation strategy generalizes band spectrum regression to more general settings and allows for more general loss functions. A noteworthy special case involves whitening estimators which force estimated innovations to be close to white noise. These estimators can be understood as minimizing a set of moment conditions which grows with sample size and which are typically implied by RE models.