Conditional Estimation of Linear Asset Pricing Models Using Alternative Marginal Utility Growth Instruments

This study proposes a new macroeco- nomic theory-derived and productiv- ity-based marginal utility growth proxy that avoids the theoretical difficulty in utility function specification and empirical problems associated with consumption data used as the primary utility function input. The theoretical and empirical characteristics of this proxy indicate it may be useful in linear asset pricing models as an instru- mental variable