An estimation of economic models with recursive preferences

DOI10.3982/QE97MaRDI QIDQ4559983zbMATH OpenOpenAlexFDO

Authors Jack Favilukis, Sydney C. Ludvigson, Xiaohong Chen

Publication date 4 December 2018

Published in Quantitative Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/qe97

zbMATH Keywords

semiparametric estimationconsumption based asset pricinglimited stock market participation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Individual preferences (91B08) Utility theory (91B16)

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Cited in

(9)

• On the rate of time preference under recursive preferences
• Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS
• Semiparametric estimation of latent variable asset pricing models
• Sieve semiparametric two-step GMM under weak dependence
• A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
• Economic Growth and Revealed Social Preference
• A theory of disasters and long-run growth
• Recursive utility and parameter uncertainty
• Estimating and testing for smooth structural changes in moment condition models

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