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version of the model studied in Bonhomme et al. (2022). We show that inference is possible in this setting using a …
Persistent link: https://www.econbiz.de/10015168551
In this paper we introduce various set inference problems as they appear in finance and propose practical and powerful … discount factors and the admissible mean-variance sets of asset portfolios. We propose to make inference on such sets using … inference on sets. …
Persistent link: https://www.econbiz.de/10009492357
In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as … especially appealing in the target applications. Moreover, the resulting inference procedures are also more powerful than the …
Persistent link: https://www.econbiz.de/10009692023
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference …
Persistent link: https://www.econbiz.de/10011775200