We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the pseudo-true value of the structural parameters in the generalized method of moments. The pseudo-true value is defined as the minimizer of the population continuous updating objective...

The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for investors who wish to invest in the global minimum...

Several novel statistical methods have been developed to estimate large integrated volatility matrices based on high-frequency financial data. To investigate their asymptotic behaviors, they require a sub-Gaussian or finite high-order moment assumption for observed log-returns, which cannot...

This paper mainly studies two topics: linear complementarity problems for modeling electricity market equilibria and optimization under uncertainty. We consider both perfectly competitive and Nash-Cournot models of electricity markets and study their robustifications using strict robustness and...

We study the robustness of Krupka and Weber's method (2013) for eliciting social norms. In two experiments with more than 1200 participants, we find that participants' response patterns are invariant to differences in the salience of the monetarily incentivized coordination aspect. We further...

Probit models with endogenous regressors are commonly used models in economics and other social sciences. Yet, the robustness properties of parametric estimators in these models have not been formally studied. In this paper, we derive the influence functions of the endogenous probit model's...