NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Euler Equation Errors

Martin Lettau, Sydney C. Ludvigson

NBER Working Paper No. 11606
Issued in September 2005

---- Acknowledgements -----

This material is based upon work supported by the National Science Foundation under Grant No. 0617858. Ludvigson also acknowledges financial support from the Alfred P. Sloan Foundation and the CV Starr Center at NYU. We are especially grateful to Narayana Kocherlakota for detailed comments on an earlier draft. We also thank Dave Backus, John Y. Campbell, John Cochrane, George Constantinides, Massimiliano DeSantis, Wayne Ferson, Mark Gertler, Stephen Gordon, Fatih Guvenen, Ravi Jagannathan, Stijn Van Nieuwerburgh, George Tauchen, Martin Weitzman, Motohiro Yogo, and seminar participants at Brown, Columbia, Dartmouth, the Federal Reserve Bank of Chicago, the Federal Reserve Bank of St. Louis, Harvard University, Johns Hopkins, New York University, Unversité Laval, West Virginia University, Wharton, the 2005 CIRANO/CIREQ (Montreal) Financial Econometrics Conference, the 2005 Duke/UNC Asset Pricing Conference, and the 2005 Society for Economic Dynamics conference for helpful comments. We thank Massimiliano Croce and Jack Favalukis for excellent research assistance. Any errors or omissions are the responsibility of the authors.

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