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Inference on sets in finance
Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - 2012
In this paper we introduce various set inference problems as they appear in finance and propose practical and powerful … discount factors and the admissible mean-variance sets of asset portfolios. We propose to make inference on such sets using … inference on sets. …
Persistent link: https://www.econbiz.de/10009492357
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Inference on sets in finance
Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 309-358
Persistent link: https://www.econbiz.de/10011343757
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Simpler bootstrap estimation of the asymptotic variance of U-statistic based estimators
Honoré, Bo E.; Hu, Luojia - 2015
The bootstrap is a popular and useful tool for estimating the asymptotic variance of complicated estimators. Ironically, the fact that the estimators are complicated can make the standard bootstrap computationally burdensome because it requires repeated re-calculation of the estimator. In...
Persistent link: https://www.econbiz.de/10011312274
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On the (surprising) sufficiency of linear models for dynamic pricing with demand learning
Besbes, Omar; Zeevi, Assaf - In: Management science : journal of the Institute for … 61 (2015) 4, pp. 723-739
Persistent link: https://www.econbiz.de/10010526550
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Inference on sets in finance
Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - 2012
In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as … especially appealing in the target applications. Moreover, the resulting inference procedures are also more powerful than the …
Persistent link: https://www.econbiz.de/10009692023
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Frequentist inference in weakley identified dynamic stochastic general equilibrium models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 197-229
Persistent link: https://www.econbiz.de/10010126204
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Modified profile likelihood inference and interval forecast of the burst of financial bubbles
Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016
unstable. Here, we provide a rigorous likelihood inference approach to determine t<sub>c</sub>, which takes into account the …
Persistent link: https://www.econbiz.de/10011514498
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Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - 2014
Persistent link: https://www.econbiz.de/10010470613
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Identification- and singularity-robust inference for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - 2014 - rev.
Persistent link: https://www.econbiz.de/10010487255
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Poor (wo)man's bootstrap
Honoré, Bo E.; Hu, Luojia - 2015
The bootstrap is a convenient tool for calculating standard errors of the parameters of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative to the...
Persistent link: https://www.econbiz.de/10010490878