H Kaido - 2010 - people.bu.edu
Abstract This paper considers inference for the set ΘI of parameter values that minimize a
criterion function. Chernozhukov, Hong, and Tamer (2007)(CHT) develop a general theory
of consistent set estimation using the level-set of a criterion function and inference based ...
H Kaido… - Journal of Financial Econometrics, 2009 - Oxford Univ Press
Abstract This paper proposes an econometric framework to estimate market risk prices
associated with risk-neutral measures Q under incomplete markets. We show that, under
incomplete markets, the market price of risk is not point-identified but is instead identified ...
H Kaido… - 2011 - geocities.jp
Abstract This paper studies an asymptotically pivotal goodness-of-fit test statistic for
identifying the maximum domain of attraction. The asymptotic pivotal test statistic is
constructed by applying Khmaladze's martingale transform to an empirical process based ...
H Kaido - 2010 - gradworks.umi.com
Abstract: When a sample of data does not fully reveal the" true" data generating structure (or
parameter) but gives information that bounds the set of observationally equivalent structures,
an economic model is said to be partially identified. This dissertation develops and ...
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