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Inference on sets in finance

Author

Listed:
  • Victor Chernozhukov

    (Institute for Fiscal Studies and MIT)

  • Emre Kocatulum

    (Institute for Fiscal Studies)

  • Konrad Menzel

    (Institute for Fiscal Studies)

Abstract

In this paper we introduce various set inference problems as they appear in finance and propose practical and powerful inferential tools. Our tools will be applicable to any problem where the set of interest solves a system of smooth estimable inequalities, though we will particularly focus on the following two problems: the admissible mean-variance sets of stochastic discount factors and the admissible mean-variance sets of asset portfolios. We propose to make inference on such sets using weighted likelihood-ratio and Wald type statistics, building upon and substantially enriching the available methods for inference on sets.

Suggested Citation

  • Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers CWP04/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:04/12
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    Cited by:

    1. Kaido, Hiroaki, 2017. "Asymptotically Efficient Estimation Of Weighted Average Derivatives With An Interval Censored Variable," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1218-1241, October.
    2. Liao, Yuan & Simoni, Anna, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," MPRA Paper 43262, University Library of Munich, Germany.
    3. Karun Adusumilli & Taisuke Otsu, 2017. "Empirical Likelihood for Random Sets," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(519), pages 1064-1075, July.
    4. Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi, 2015. "Empirical likelihood for regression discontinuity design," Journal of Econometrics, Elsevier, vol. 186(1), pages 94-112.
    5. Bontemps, Christian & Kumar, Rohit, 2020. "A geometric approach to inference in set-identified entry games," Journal of Econometrics, Elsevier, vol. 218(2), pages 373-389.
    6. Hiroaki Kaido & Jiaxuan Li & Marc Rysman, 2018. "Moment inequalities in the context of simulated and predicted variables," CeMMAP working papers CWP26/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Christian Bontemps & Rohit Kumar, 2019. "A Geometric Approach to Inference in Set-Identified Entry Games," Working Papers hal-02137356, HAL.
    8. Liao, Yuan & Simoni, Anna, 2019. "Bayesian inference for partially identified smooth convex models," Journal of Econometrics, Elsevier, vol. 211(2), pages 338-360.
    9. repec:cep:stiecm:/2014/574 is not listed on IDEAS
    10. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2016. "On the properties of the constrained Hansen–Jagannathan distance," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 121-150.
    11. Yuan Liao & Anna Simoni, 2016. "Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?," Departmental Working Papers 201607, Rutgers University, Department of Economics.

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