Before revision:  The methodology is nonparametric , i.e., it does not impose any tight parametric restrictions on the dynamics of the state variables and the SDF process. We derive the large-sample properties of the estimators and illustrate favorable performance in simulations. The methodology is applied to study an economy where the representative agent is endowed with recursive preferences, allowing for general (nonlinear) consumption and earnings growth dynamics.
After revision:  We also introduce nonparametric estimators of the continuation value function in a class of models with recursive preferences by reinterpreting the value function recursion as a nonlinear Perron-Frobenius problem. We establish consistency and convergence rates of the eigenfunction estimators and asymptotic normality of the eigenvalue estimator and estimators of related functionals. As an application, we study an economy where the representative agent is endowed with recursive preferences, allowing for general (nonlinear) consumption and earnings growth dynamics.