Nonparametric identification of positive eigenfunctions

DOI10.1017/S0266466614000668MaRDI QIDQ3465605zbMATH OpenOpenAlexFDO

Authors Timothy M. Christensen

Publication date 22 January 2016

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.3145

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Abstract: Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal utility in external habit formation models. This paper provides identification conditions for positive eigenfunctions in nonparametric models. Identification is achieved if the operator satisfies two mild positivity conditions and a power compactness condition. Both existence and identification are achieved under a further non-degeneracy condition. The general results are applied to obtain new identification conditions for external habit formation models and for positive eigenfunctions of pricing operators in dynamic asset pricing models.

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Cited in

(7)

• Long-term factorization in Heath-Jarrow-Morton models
• Long-term factorization of affine pricing kernels
• Existence and uniqueness of recursive utilities without boundedness
• Functional Ross recovery: theoretical results and empirical tests
• Nonparametric stochastic discount factor decomposition
• NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
• Semiparametric estimation of latent variable asset pricing models

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