Risks For the Long Run: Estimation with Time Aggregation
---- Acknowledgements -----
We thank Andy Abel, George Constantinides, Lars Hansen, John Heaton, Tom Sargent, Martin Schneider, Annette Vissing-Jorgensen, seminar participants at Boston University, Copenhagen School of Business, Carnegie-Mellon University, Duke University, Harvard University, LBS, LSE, Norwegian School of Management, NYU, Stockholm School of Economics, Tel-Aviv University, University of California-Berkeley, University of Chicago, University of Texas-Austin, University of Washington-St. Louis, University of Wisconsin, Wharton, Yale, and conference participants at the Summer Econometric Society Meetings, the NBER Asset-Pricing meeting, Nemmers Prize Conference, Frontiers of Monetary policy—St. Louis FRB, and CIRANO Financial Econometrics Conference in Montreal for useful comments. Yaron thanks support from the Rodney White Center at the Wharton School. This paper builds on our earlier working paper, Risks for the Long Run: Estimation and Inference. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.