An estimation of economic models with recursive preferences

DOI10.3982/QE97zbMATH Open1418.91209OpenAlexW3021233293MaRDI QIDQ4559983FDOQ4559983

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

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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)

Cited In (8)

• 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
• Estimating and testing for smooth structural changes in moment condition models
• A theory of disasters and long-run growth

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