Tests / euler_factor_identity

Euler Factor Identity

CONSISTENTDynamics & CrisesHIGH confidence

Description

Figures

Euler Factor Identity: RTS vs CES CurvatureEuler Factor Identity: RTS vs CES Curvature

Statistics

slope0.1485
p value0.2291
std err0.1233
mean rts0.8533
intercept0.7670
r squared0.0041
statistic0.1485
median rts0.9233
median sigma0.8787
n industries358
frac rts near 10.4274

Script

thesis-tests/tests/dynamics/test_euler_factor_identity.py

Reproduction Steps

cd thesis-tests && source ../.venv/bin/activate
python download_data.py --source all
python run_all.py --test test_euler_factor_identity

Data Sources

  • NBER-CES Manufacturing
  • Oberfield-Raval 2021