Before revision:  This paper introduces econometric methods to extract the permanent and transitory components of the SDF process. We show how to estimate  the solution to the Perron-Frobenius eigenfunction problem of Hansen and Scheinkman (2009) using data on the Markov state and the SDF process.
After revision:  This paper introduces an empirical framework to analyze the permanent-transitory decomposition of SDF processes. Specifically, we show how to estimate the solution to the Perron-Frobenius eigenfunction problem of Hansen and Scheinkman (2009) using data on the Markov state and the SDF process.