IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v31y2015i03p560-580_00.html
   My bibliography  Save this article

Pricing Kernel Estimation: A Local Estimating Equation Approach

Author

Listed:
  • Cai, Zongwu
  • Ren, Yu
  • Sun, Linman

Abstract

This paper investigates a general semiparametric stochastic discount factor formulation that avoids functional form misspecification. A new semiparametric estimation procedure is proposed which combines orthogonality conditions and local linear fitting to give a semiparametric generalized estimating equation approach. Asymptotic properties of the estimators are established and we explore the empirical usefulness of the proposed approach to value-weighted stock returns.

Suggested Citation

  • Cai, Zongwu & Ren, Yu & Sun, Linman, 2015. "Pricing Kernel Estimation: A Local Estimating Equation Approach," Econometric Theory, Cambridge University Press, vol. 31(3), pages 560-580, June.
    • Handle: RePEc:cup:etheor:v:31:y:2015:i:03:p:560-580_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466614000589/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Escanciano, Juan Carlos & Hoderlein, Stefan & Lewbel, Arthur & Linton, Oliver & Srisuma, Sorawoot, 2021. "Nonparametric Euler Equation Identification And Estimation," Econometric Theory, Cambridge University Press, vol. 37(5), pages 851-891, October.
    2. Bravo, Francesco, 2023. "Local polynomial estimation of nonparametric general estimating equations," Statistics & Probability Letters, Elsevier, vol. 197(C).
    3. Nikolay Gospodinov & Esfandiar Maasoumi, 2017. "General Aggregation of Misspecified Asset Pricing Models," FRB Atlanta Working Paper 2017-10, Federal Reserve Bank of Atlanta.
    4. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:31:y:2015:i:03:p:560-580_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.