Publication:
Nonparametric Euler equation identification and estimation

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorEscanciano, Juan Carlos
dc.contributor.authorHoderlein, Stefan
dc.contributor.authorLewbel, Arthur
dc.contributor.authorLinton, Oliver
dc.contributor.authorSrisuma, Sorawoot
dc.date.accessioned2022-06-10T14:35:45Z
dc.date.available2022-06-10T14:35:45Z
dc.date.issued2020-09-28
dc.description.abstractWe consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption-based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions (without imposing functional restrictions or just assuming completeness). We also propose a novel nonparametric estimator based on our identification analysis, which combines standard kernel estimation with the computation of a matrix eigenvector problem. Our estimator avoids the ill-posed inverse issues associated with nonparametric instrumental variables estimators. We derive limiting distributions for our estimator and for relevant associated functionals. A Monte Carlo experiment shows a satisfactory finite sample performance for our estimators.en
dc.identifier.bibliographicCitationEscanciano, J. C., Hoderlein, S., Lewbel, A., Linton, O., & Srisuma, S. (2020). Nonparametric Euler equation identification and estimation. Econometric Theory, 37 (5), pp. 851-891.en
dc.identifier.doihttps://doi.org/10.1017/S0266466620000365
dc.identifier.issn0266-4666
dc.identifier.publicationfirstpage851es
dc.identifier.publicationissue1es
dc.identifier.publicationlastpage891es
dc.identifier.publicationtitleECONOMETRIC THEORYen
dc.identifier.publicationvolume37es
dc.identifier.urihttps://hdl.handle.net/10016/35071
dc.identifier.uxxiAR/0000029572
dc.language.isoenges
dc.publisherCambridge University Pressen
dc.rights© TheAuthor(s), 2020.en
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.jelC14
dc.subject.jelD91
dc.subject.jelE21
dc.subject.jelG12
dc.subject.otherEuler equationsen
dc.subject.otherMarginal utilityen
dc.subject.otherPricing Kernelen
dc.subject.otherFredholm equationsen
dc.subject.otherIntegral Equationses
dc.subject.otherNonparametric identificationen
dc.subject.otherAsset pricingen
dc.titleNonparametric Euler equation identification and estimationen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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