A general test for functional inequalities

A general test for functional inequalities

This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series...

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Bibliographic Details
Main Authors: LI, Jia, LIAO, Zhipeng, ZHOU, Wenyu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
conditional moment inequality
functional inference
Sharpe ratio
series estimation
uniform validity
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2647
https://ink.library.smu.edu.sg/context/soe_research/article/3646/viewcontent/ncspa.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2647
https://ink.library.smu.edu.sg/context/soe_research/article/3646/viewcontent/ncspa.pdf

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