Solving Euler equations via two-stage nonparametric penalized splines

DOI10.1016/J.JECONOM.2020.04.042MaRDI QIDQ2024465zbMATH OpenOpenAlexFDO

Authors Liyuan Cui, Yongmiao Hong, Yingxing Li

Publication date 4 May 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.04.042

zbMATH Keywords

Euler equationimplied price-dividend ratiosnonparametric penalized splinesreturn predictabilitytwo-stage regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

Recommendations

• NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• A two-step indirect inference approach to estimate the long-run risk asset pricing model
• Estimation and testing of Euler equation models with time-varying reduced-form coefficients
• Nonparametric estimation of nonlinear rational expectation models

Cites work

• A practical guide to splines
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Applied nonparametric instrumental variables estimation
• Asset Prices in an Exchange Economy
• Asset pricing theory.
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• Asymptotic properties of penalized spline estimators
• Asymptotic theory of penalized splines
• Design-adaptive Nonparametric Regression
• Efficient derivative pricing by the extended method of moments
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
• Flexible smoothing with B-splines and penalties. With comments and a rejoinder by the authors
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Hermite polynomial based expansion of European option prices
• Instrumental Variable Estimation of Nonparametric Models
• Linear integral equations
• Local asymptotics for polynomial spline regression
• Local asymptotics for regression splines and confidence regions
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Nearly optimal tests when a nuisance parameter is present under the null hypothesis
• Nonparametric instrumental regression
• Nonparametric stochastic discount factor decomposition
• On the asymptotics of penalized splines
• On the testability of identification in some nonparametric models with endogeneity
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
• Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
• Solving asset pricing models with Gaussian shocks
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The integrated mean squared error of series regression and a Rosenthal Hilbert-space inequality

Cited in

(1)

• Regularized GMM for time-varying models with applications to asset pricing

This page was built for publication: Solving Euler equations via two-stage nonparametric penalized splines

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2024465)