Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - Centre for Microdata Methods and Practice (CEMMAP) - 2012
In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ) variances for asset portfolio returns, and the set of...