NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION

DOI10.1017/S0266466620000365zbMath1479.62090OpenAlexW3124145985MaRDI QIDQ5012627

Sorawoot Srisuma, Stefan Hoderlein, Juan Carlos Escanciano, Oliver B. Linton, Arthur Lewbel

Publication date: 25 November 2021

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466620000365

zbMATH Keywords

nonparametric estimationpricing kernel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items

SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION ⋮ Life-cycle consumption and life insurance: empirical evidence from Italian survey

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Well-posedness of measurement error models for self-reported data
• Nonparametric methods for inference in the presence of instrumental variables
• Nonlinear principal components and long-run implications of multivariate diffusions
• Nonparametric estimation of nonlinear rational expectation models
• Linear integral equations.
• Comparing nonparametric versus parametric regression fits
• Mixing: Properties and examples
• Invariance principles for absolutely regular empirical processes
• The bootstrap for empirical processes based on stationary observations
• Nonparametric estimation of scalar diffusions based on low frequency data
• Weak convergence and empirical processes. With applications to statistics
• Kernel-based nonlinear canonical analysis and time reversibility
• Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
• Uniform in bandwidth consistency of kernel-type function estimators
• Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
• GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
• AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
• ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS
• Identification and Lack of Identification
• NONPARAMETRIC IDENTIFICATION OF POSITIVE EIGENFUNCTIONS
• Long-Term Risk: An Operator Approach
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Spectral Approximation for Compact Operators
• Asset Prices in an Exchange Economy
• Nonparametric Stochastic Discount Factor Decomposition
• Local Identification of Nonparametric and Semiparametric Models
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Semiparametric Estimation of Index Coefficients
• Nonparametric Instrumental Regression
• PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH
• SEMIPARAMETRIC ESTIMATION OF RANDOM COEFFICIENTS IN STRUCTURAL ECONOMIC MODELS
• Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Identification in Parametric Models
• Convergence of stochastic processes