PhD Management Applied Economics, MIT Sloan School of Management BS Mathematics, Massachusetts Institute of Technology
Arthur is the inaugural holder of the Barbara A. and Patrick E. Roche chair in economics at Boston College and an International Research Fellow of the IFS. His research interests include econometric theory, consumer demand analysis, and economic aggregation issues.
Nonparametric Euler equation identification and estimation
| Working Paper
The authors consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. This is the first paper to prove nonparametric identification of Euler equations under low level conditions (without imposing functional restrictions or just assuming completeness).