Qiu, Chen; Otsu, Taisuke - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 63-94
This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high‐dimensional multiplicative moment conditions. Main examples are functionals of stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose...