{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,19]],"date-time":"2025-12-19T09:45:34Z","timestamp":1766137534139},"reference-count":66,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2020,9,28]],"date-time":"2020-09-28T00:00:00Z","timestamp":1601251200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2021,10]]},"abstract":"<jats:p>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 nonparametric instrumental variables estimators. We derive limiting distributions for our estimator and for relevant associated functionals. A Monte Carlo experiment shows a satisfactory finite sample performance for our estimators.<\/jats:p>","DOI":"10.1017\/s0266466620000365","type":"journal-article","created":{"date-parts":[[2020,9,28]],"date-time":"2020-09-28T09:41:52Z","timestamp":1601286112000},"page":"851-891","source":"Crossref","is-referenced-by-count":4,"title":["NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION"],"prefix":"10.1017","volume":"37","author":[{"given":"Juan Carlos","family":"Escanciano","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Stefan","family":"Hoderlein","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Arthur","family":"Lewbel","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Oliver","family":"Linton","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sorawoot","family":"Srisuma","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2020,9,28]]},"reference":[{"key":"S0266466620000365_r82","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2007.00808.x"},{"key":"S0266466620000365_r50","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.1200237109"},{"key":"S0266466620000365_r49","doi-asserted-by":"crossref","first-page":"177","DOI":"10.3982\/ECTA6761","article-title":"Long-term risk: An operator approach","volume":"77","author":"Hansen","year":"2009","journal-title":"Econometrica"},{"key":"S0266466620000365_r35","doi-asserted-by":"publisher","DOI":"10.1214\/009053605000000129"},{"key":"S0266466620000365_r55","volume-title":"Linear Operators Leaving Invariant a Cone in a Banach Space","author":"Kre\u012dn","year":"1950"},{"key":"S0266466620000365_r72","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-65970-6"},{"key":"S0266466620000365_r11","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466614000589"},{"key":"S0266466620000365_r27","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04754.x"},{"key":"S0266466620000365_r51","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2263321"},{"key":"S0266466620000365_r62","volume-title":"Optimization by Vector Space Methods","author":"Luenberger","year":"1997"},{"key":"S0266466620000365_r64","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00459"},{"key":"S0266466620000365_r61","doi-asserted-by":"publisher","DOI":"10.2307\/1913837"},{"key":"S0266466620000365_r79","doi-asserted-by":"publisher","DOI":"10.2307\/1913713"},{"key":"S0266466620000365_r22","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.02.002"},{"key":"S0266466620000365_r74","doi-asserted-by":"publisher","DOI":"10.1146\/annurev.economics.050708.143401"},{"key":"S0266466620000365_r21","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1091"},{"key":"S0266466620000365_r63","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(82)90036-8"},{"key":"S0266466620000365_r56","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-0559-3"},{"key":"S0266466620000365_r23","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466610000381"},{"key":"S0266466620000365_r38","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.06.004"},{"key":"S0266466620000365_r75","volume-title":"Springer Series in Statistics","author":"van der Vaart","year":"1996"},{"key":"S0266466620000365_r5","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.01.036"},{"key":"S0266466620000365_r44","doi-asserted-by":"publisher","DOI":"10.1214\/009053605000000714"},{"key":"S0266466620000365_r26","volume-title":"Asset Pricing","author":"Cochrane","year":"2001"},{"key":"S0266466620000365_r15","unstructured":"Chanchana, P. (2007) An Algorithm for Computing the Perron Root of a Nonnegative Irreducible Matrix. Ph.D. dissertation, North Carolina State University, Raleigh."},{"key":"S0266466620000365_r77","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-4838-5"},{"key":"S0266466620000365_r32","volume-title":"Properties and Examples","author":"Doukhan","year":"1994"},{"key":"S0266466620000365_r25","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA11600"},{"key":"S0266466620000365_r4","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1037"},{"key":"S0266466620000365_r37","unstructured":"Escanciano, J.C. (2019) Semiparametric Identification and Fisher Information. https:\/\/arxiv.org\/abs\/1609.06421."},{"key":"S0266466620000365_r16","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb01114.x"},{"key":"S0266466620000365_r42","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2016.1149071"},{"key":"S0266466620000365_r18","unstructured":"Chen, X. , Hansen, L.P. , & Scheinkman, J. (2000) Nonlinear Principal Components and Long-Run Implications of Multivariate Diffusions. Unpublished manuscript."},{"key":"S0266466620000365_r70","doi-asserted-by":"publisher","DOI":"10.2307\/1913267"},{"key":"S0266466620000365_r3","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00470"},{"key":"S0266466620000365_r59","doi-asserted-by":"publisher","DOI":"10.1086\/261450"},{"key":"S0266466620000365_r53","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176349403"},{"key":"S0266466620000365_r29","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00199-4"},{"key":"S0266466620000365_r54","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466616000396"},{"key":"S0266466620000365_r20","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466614000851"},{"key":"S0266466620000365_r43","first-page":"2223","article-title":"Nonparametric estimation of scalar diffusions based on low frequency data","volume":"26","author":"Gobet","year":"2004","journal-title":"Annals of Statistics"},{"key":"S0266466620000365_r46","doi-asserted-by":"publisher","DOI":"10.1086\/260724"},{"key":"S0266466620000365_r19","doi-asserted-by":"publisher","DOI":"10.1214\/09-AOS706"},{"key":"S0266466620000365_r17","doi-asserted-by":"crossref","first-page":"785","DOI":"10.3982\/ECTA9988","article-title":"Identification in semiparametric and nonparametric conditional moment models","volume":"82","author":"Chen","year":"2014","journal-title":"Econometrica"},{"key":"S0266466620000365_r2","doi-asserted-by":"publisher","DOI":"10.1090\/gsm\/050"},{"key":"S0266466620000365_r6","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(98)00188-8"},{"key":"S0266466620000365_r24","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466614000668"},{"key":"S0266466620000365_r1","unstructured":"Abbott, B. & Gallipoli, G. (2018) Permanent-Income Inequality. Technical Report, University of British Columbia."},{"key":"S0266466620000365_r71","doi-asserted-by":"publisher","DOI":"10.2307\/1912109"},{"key":"S0266466620000365_r47","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080304"},{"key":"S0266466620000365_r52","doi-asserted-by":"publisher","DOI":"10.2307\/1911873"},{"key":"S0266466620000365_r78","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00461"},{"key":"S0266466620000365_r65","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"S0266466620000365_r69","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12092"},{"key":"S0266466620000365_r68","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4149(96)00102-0"},{"key":"S0266466620000365_r28","doi-asserted-by":"crossref","first-page":"1541","DOI":"10.3982\/ECTA6539","article-title":"Nonparametric instrumental regression","volume":"79","author":"Darolles","year":"2011","journal-title":"Econometrica"},{"key":"S0266466620000365_r41","doi-asserted-by":"publisher","DOI":"10.2307\/1913624"},{"key":"S0266466620000365_r33","first-page":"393","article-title":"Invariance principles for absolutely regular empirical processes","volume":"31","author":"Doukhan","year":"1995","journal-title":"Annales de l\u2019I.H.P. Probabilit\u00e9s et Statistiques"},{"key":"S0266466620000365_r36","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-009-1740-8"},{"key":"S0266466620000365_r66","doi-asserted-by":"publisher","DOI":"10.1090\/S0025-5718-1975-0383117-3"},{"key":"S0266466620000365_r13","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600166010"},{"key":"S0266466620000365_r34","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90005-X"},{"key":"S0266466620000365_r39","volume-title":"The Identification Problem in Econometrics","author":"Fisher","year":"1966"},{"key":"S0266466620000365_r67","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-5254-2"},{"key":"S0266466620000365_r14","volume-title":"Handbook of Econometrics","volume":"6","author":"Carrasco","year":"2007"},{"key":"S0266466620000365_r12","doi-asserted-by":"publisher","DOI":"10.1086\/250059"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466620000365","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,10,7]],"date-time":"2021-10-07T10:39:41Z","timestamp":1633603181000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466620000365\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,9,28]]},"references-count":66,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2021,10]]}},"alternative-id":["S0266466620000365"],"URL":"https:\/\/doi.org\/10.1017\/s0266466620000365","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,9,28]]}}}