Information theoretic approach to high‐dimensional multiplicative models: Stochastic discount factor and treatment effect
Author:
Affiliation:
1. Department of Economics, Cornell University
2. Department of Economics, London School of Economics
Abstract
Publisher
The Econometric Society
Subject
Economics and Econometrics
Link
https://onlinelibrary.wiley.com/doi/pdf/10.3982/QE1603
Reference50 articles.
1. Athey, S., G. W. Imbens, and S. Wager (2016), “Approximate residual balancing: de-biased inference of average treatment effects in high dimensions.” Working paper.
2. Sources of Entropy in Representative Agent Models
3. Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain
4. Some new asymptotic theory for least squares series: Pointwise and uniform results
5. Program Evaluation and Causal Inference With High-Dimensional Data
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