Nonparametric Euler Equation Identi cation and Estimation

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Authors
Escanciano, J C.
Hoderlein, S.
Lewbel, A.
Linton, O.
Srisuma, S.
Publication Date
2020-07-04
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics, University of Cambridge
Type
Working Paper
Metadata
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Citation
Escanciano, J. C., Hoderlein, S., Lewbel, A., Linton, O., & Srisuma, S. (2020). Nonparametric Euler Equation Identi cation and Estimation. https://doi.org/10.17863/CAM.61823
Abstract
We 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 Eul
Keywords
uler equations, marginal utility, pricing kernel, Fredholm equations, integral equations, nonparametric identi cation, asset pricing
Identifiers
CWPE2064
This record's DOI: https://doi.org/10.17863/CAM.61823
This record's URL: https://www.repository.cam.ac.uk/handle/1810/314717
Rights
All Rights Reserved
Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/
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