Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect
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Cited by:
- Karun Adusumilli & Taisuke Otsu & Chen Qiu, 2020. "Reweighted nonparametric likelihood inference for linear functionals," STICERD - Econometrics Paper Series 614, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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More about this item
Keywords
Stochastic discount factor; Treatment effect; Information theory; High dimension;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-01-15 (Econometrics)
- NEP-ORE-2018-01-15 (Operations Research)
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