PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH
研究了一种避免函数形式误设的半参数随机贴现因子模型，提出结合正交条件与局部线性拟合的估计方法，并用于价值加权股票收益的实证分析。
This paper investigates a general semiparametric stochastic discount factor formulation that avoids functional form misspecification. A new semiparametric estimation procedure is proposed which combines orthogonality conditions and local linear fitting to give a semiparametric generalized estimating equation approach. Asymptotic properties of the estimators are established and we explore the empirical usefulness of the proposed approach to value-weighted stock returns.