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Nonparametric identification of positive eigenfunctions

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  • Timothy M. Christensen

    (Institute for Fiscal Studies)

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 identi fication conditions for positive eigenfunctions in nonparametric models. Identifi cation is achieved if the operator satisfi es two mild positivity conditions and a power compactness condition. Both existence and identi cation are achieved under a further non-degeneracy condition. The general results are applied to obtain new identifi cation conditions for external habit formation models and for positive eigenfunctions of pricing operators in dynamic asset pricing models.

Suggested Citation

  • Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  • Handle: RePEc:ifs:cemmap:37/14
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