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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 Euler equations under low level conditions...
Persistent link: https://www.econbiz.de/10011445779
Microeconomic theory often yields models with multiple nonlinear equations, nonseparable unobservables, nonlinear cross equation restrictions, and many potentially multicolinear covariates. We show how statistical dimension reduction techniques can be applied in models with these features. In...
Persistent link: https://www.econbiz.de/10010932056
Microeconomic theory often yields models with multiple nonlinear equations, nonseparable unobservables, nonlinear cross equation restrictions, and many potentially multicollinear covariates. We show how statistical dimension reduction techniques can be applied in models with these features. In...
Persistent link: https://www.econbiz.de/10005027818
Persistent link: https://www.econbiz.de/10010028019
Persistent link: https://www.econbiz.de/10009714721
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 Euler equations under low level conditions...
Persistent link: https://www.econbiz.de/10011341255
Persistent link: https://www.econbiz.de/10011455563
Persistent link: https://www.econbiz.de/10012656387
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