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Nonparametric Identification Of Positive Eigenfunctions

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  • Christensen, Timothy M.

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 nondegeneracy 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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  • Christensen, Timothy M., 2015. "Nonparametric Identification Of Positive Eigenfunctions," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1310-1330, December.
    • Handle: RePEc:cup:etheor:v:31:y:2015:i:06:p:1310-1330_00
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    Cited by:

    1. Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    2. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    3. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
    4. Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
    5. 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.

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