Information theoretic approach to high dimensional multiplicative models: stochastic discount factor and treatment effect

Chen Qiu and Taisuke Otsu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high-dimensional multiplicative moment conditions. Main examples are functionals of stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose to estimate the latent weight function by an information theoretic approach combined with the ℓ 1-penalization technique to deal with high-dimensional moment conditions under sparsity. We study asymptotic properties of the proposed method and illustrate it by a theoretical example on treatment effect analysis and empirical example on estimation of stochastic discount factors.

Keywords: information theoretic approach; high-dimensional model; stochastic discount factor; treatment effect; Diamond journal; no fee (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2022-01-01
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (1)

Published in Quantitative Economics, 1, January, 2022, 13(1), pp. 63 - 94. ISSN: 1759-7323

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