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...

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...

Kotlarski's identity has been widely used in applied economic research based on repeated-measurement or panel models with latent variables. However, how to conduct inference for these models has been an open question for two decades. This paper addresses this open problem by constructing a novel...

We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manager knows a range forecast for each factor...

Economists often estimate a subset of their model parameters outside the model and let the decision-makers inside the model treat these point estimates as-if they are correct. This practice ignores model ambiguity, opens the door for misspecification of the decision problem, and leads to...