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...

This paper develops methodology for semiparametric panel data models in a setting where both the time series and the cross section are large. Such set tings are common in finance and other areas of economics. Our model allows for heterogeneous nonparametric covariate effects as well as...