Fall 2007 Thursday, August 30   A. Ronald Gallant Fuqua School of Business Duke University "A Statistical Inquiry into the Plausibility of Recursive Utility" 3:00 Refreshments in 241 Schaeffer Hall 3:30 Talk in 140 Schaeffer Hall We use purely statistical methods to determine if the pricing kernel is the intertemporal marginal rate of substitution under recursive utility. We introduce a nonparametric Bayesian method that treats the pricing kernel as a latent variable and extracts it and its transition density from payoffs on twenty-four Fama-French portfolios, on bonds, and on payoffs that use conditioning information available when portfolios are formed. Our priors are formed from an examination of a Bansal-Yaron economy. Using both monthly data and annual data, we find that the data support recursive utility. complete paper

All talks are free and open to the public. To receive colloquium reminders via email, please send a request to statistics@uiowa.edu. The 37th Annual Craig Lectures will be on October 11 and 12. Our speaker this year is Nancy Reid from the University of Toronto. Past colloquia: Spring 2007 | Fall 2006 | Spring 2006 | Fall 2005 | Spring 2005 | Fall 2004 | Spring 2004 | Fall 2003 | Spring 2003 | Fall 2002 | Spring 2002 | Fall 2001 | Spring 2001 | Fall 2000 | Spring 2000 | Fall 1999 | Spring 1999 | Fall 1998 | Spring 1998

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