Information theoretic approach to high-dimensional multiplicative models: Stochastic discount factor and treatment effect

Chen Qiu, Taisuke Otsu

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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 to estimate the latent weight function by an information theoretic approach combined with the ℓ1-penalization technique to deal with high-dimensional moment conditions under sparsity. We study asymptotic properties of the proposed method and illustrate it by a theoretical example on treatment effect analysis and empirical example on estimation of stochastic discount factors.

本文言語English
ページ(範囲)63-94
ページ数32
ジャーナルQuantitative Economics
13
1
DOI
出版ステータスPublished - 2022 1月
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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