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...

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...

Econometric analyses in the happiness literature typically use subjective well-being (SWB) data to compare the mean of observed or latent happiness across samples. Recent critiques show that com-paring the mean of ordinal data is only valid under strong assumptions that are usually rejected by...

We study the uniform convergence rates of a nonparametric estimator for a probability density function and its derivatives when the density has a known pole. Such situation arises in some structural microeconometric models, e.g. in auction, labor, and consumer search. Existing uniform...