Nonparametric identification of positive eigenfunctions

Timothy M. Christensen

    Research output: Contribution to journalArticlepeer-review


    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.

    Original languageEnglish (US)
    Pages (from-to)1310-1330
    Number of pages21
    JournalEconometric Theory
    Issue number6
    StatePublished - Sep 8 2014

    ASJC Scopus subject areas

    • Social Sciences (miscellaneous)
    • Economics and Econometrics


    Dive into the research topics of 'Nonparametric identification of positive eigenfunctions'. Together they form a unique fingerprint.

    Cite this