Before revision:  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. Estimating directly the eigenvalue and eigenfunction allows one to (1) construct empirically the time series of the  permanent and transitory components of the SDF process and (2 ) estimate the yield and the change of measure which characterize pricing over long investment horizons.
After revision:  We show how to estimate the solution to the Perron-Frobenius eigenfunction problem of Hansen and Scheinkman (2009) . Our empirical framework allows researchers to (i) recover the time series of the permanent and transitory components of the SDF process and (2 ) estimate the yield and the change of measure which characterize pricing over long investment horizons.