Inference on estimators defined by mathematical programming

DOI10.1016/J.JECONOM.2021.06.001MaRDI QIDQ2074590zbMATH OpenOpenAlexFDO

Authors Yu-Wei Hsieh, Xiaoxia Shi, Matthew Shum

Publication date 10 February 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.09115, https://resolver.caltech.edu/CaltechAUTHORS:20210714-163200205

zbMATH Keywords

linear complementarity constraintsmoment inequalitiesportfolio selectionsub-vector inference

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• An Exact Test for Multiple Inequality and Equality Constraints in the Linear Regression Model
• Asymptotic Behavior of Optimal Solutions in Stochastic Programming
• Bayesian inference in a class of partially identified models
• Computing moment inequality models using constrained optimization
• Confidence intervals for projections of partially identified parameters
• Distributional properties of portfolio weights
• Duality in dynamic discrete-choice models
• Estimating semi-parametric panel multinomial choice models using cyclic monotonicity
• Estimation for Markowitz Efficient Portfolios
• Generalized Delta Theorems for Multivalued Mappings and Measurable Selections
• scientific article; zbMATH DE number 53115 (Why is no real title available?)
• scientific article; zbMATH DE number 1502618 (Why is no real title available?)
• scientific article; zbMATH DE number 6108474 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 3407452 (Why is no real title available?)
• Identification and shape restrictions in nonparametric instrumental variables estimation
• Inference for parameters defined by moment inequalities using generalized moment selection
• Inference for parameters defined by moment inequalities: a recommended moment selection procedure
• Inference for subvectors and other functions of partially identified parameters in moment inequality models
• Inference for the identified set in partially identified econometric models
• Inference on directionally differentiable functions
• Inferring optimal peer assignment from experimental data
• Inferring welfare maximizing treatment assignment under budget constraints
• Monte Carlo confidence sets for identified sets
• Regression Quantiles
• Robust Portfolio Selection Problems
• Simple two-stage inference for a class of partially identified models
• Testing inequality constraints in linear econometric models
• The distribution of the sample minimum-variance frontier
• The essence of invexity

Cited in

(7)

• The mathematics of coordinated inference. A study of generalized hat problems
• scientific article; zbMATH DE number 5716608 (Why is no real title available?)
• Teacher-to-Classroom Assignment and Student Achievement
• An information-theoretic approach to partially identified auction models
• A computational approach to identification of treatment effects for policy evaluation
• The proximal bootstrap for constrained estimators
• Partial identification of individual-level parameters using aggregate data in a nonparametric model

This page was built for publication: Inference on estimators defined by mathematical programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2074590)