My work is mainly concerned with finding general ways to model heterogeneity in the application of microeconomic models. There are, broadly speaking, two types of approaches I follow: nonseparable models and random coefficient models. Because of its general nature, my research has a significant nonparametric component. Applications came from a number of fields, but I have a particular interest in consumer demand models. I have organized several conferences on the Econometrics of Demand in 2009, 2011 and 2013 , which reflect some of my research interests.
Stefan Hoderlein
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Nonparametric Euler Equation Identication and Estimation
We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions (without imposing functional restrictions or just assuming completeness).