Nonparametric Euler Equation Identi cation and Estimation

Escanciano, J C.; Hoderlein, S.; Lewbel, A.; Linton, O.; Srisuma, S.

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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

Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/