Solving Euler equations via two-stage nonparametric penalized splines

DOI10.1016/j.jeconom.2020.04.042zbMath1471.62325OpenAlexW3088791827MaRDI QIDQ2024465

Yongmiao Hong, Liyuan Cui, Yingxing Li

Publication date: 4 May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.042

zbMATH Keywords

Euler equationtwo-stage regressionreturn predictabilityimplied price-dividend ratiosnonparametric penalized splines

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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