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Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
cemmap working paper No. CWP61/15
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
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 (without imposing functional restrictions or just assuming completeness). We also propose a novel nonparametric estimator based on our identification analysis, which combines standard kernel estimation with the computation of a matrix eigenvector problem. Our estimator avoids the ill-posed inverse issues associated with existing nonparametric instrumental variables based Euler equation estimators. We derive limiting distributions for our estimator and for relevant associated functionals. We provide a Monte Carlo analysis and an empirical application to US household-level consumption data.
Schlagwörter: 
Euler equations
marginal utility
pricing kernel
Fredholm equations
integral equations
nonparametric identification
asset pricing
JEL: 
C14
D91
E21
G12
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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