Yu-Wei Hsieh, Xiaoxia Shi, Matthew Shum
arXiv 26 Sep 2017 · Econometrics · publishedJournal of Econometrics (2021) · 9 citations (OpenAlex)
arXiv:1709.09115 · PDF · DOI · OpenAlex · Extracted main text
We propose an inference procedure for estimators defined by mathematical programming problems, focusing on the important special cases of linear programming (LP) and quadratic programming (QP). In these settings, the coefficients in both the objective function and the constraints of the mathematical programming problem may be estimated from data and hence involve sampling error. Our inference approach exploits the characterization of the solutions to these programming problems by complementarity conditions; by doing so, we can transform the problem of doing inference on the solution of a constrained optimization problem (a non-standard inference problem) into one involving inference based on a set of inequalities with pre-estimated coefficients, which is much better understood. We evaluate the performance of our procedure in several Monte Carlo simulations and an empirical application to the classic portfolio selection problem in finance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Shi, X. and M. Shum (2015) Simple Two-stage Inference For A Class Of Partially Identified Models self | 0.693 | 10 | 1 | 100% |
| 2 | Markowitz, H (1952) Portfolio Selection | 0.693 | 5 | 1 | 100% |
| 3 | Fang, Z. and A. Santos (2016) Inference on Directionally Differentiable Functions | 0.585 | 3 | 1 | 100% |
| 4 | Chiong, K. X., A. Galichon, and M. Shum (2016) Duality in Dynamic Discrete Choice Models | 0.511 | 2 | 1 | 100% |
| 5 | Chiong, K., Y.-W. Hsieh, and M. Shum (2017) Counterfactual Estimation in Semiparametric Discrete Choice Models self | 0.511 | 2 | 1 | 100% |
| 6 | Freyberger, J. and J. Horowitz (2015) Identification and Shape Restrictions in Nonparametric Instrumental Variables Estimation | 0.511 | 2 | 1 | 100% |
| 7 | Kaido, H., F. Molinari, and J. Stoye (2016) Confidence Intervals For Projections Of Partially Identified Parameters | 0.511 | 2 | 1 | 100% |
| 8 | Scherer, B (2002) Portfolio Resampling: Review and Critique | 0.511 | 2 | 1 | 100% |
| 9 | Wolak, F. A (1987) An exact test for multiple inequality and equality constraints in the linear regression model | 0.511 | 2 | 1 | 100% |
| 10 | Andrews, D. and P. Barwick (2012) Inference For Parameters Defined By Moment Inequalities: A Recommended Moment Selection Procedure | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 24 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.