scholarly journals Set Identification, Moment Restrictions, and Inference

2017 ◽  
Vol 9 (1) ◽  
pp. 103-129 ◽  
Author(s):  
Christian Bontemps ◽  
Thierry Magnac
Keyword(s):  
Set Identification ◽  
Moment Restrictions

scholarly journals A NOTE ON THE FORWARD AND THE EQUITY PREMIUM PUZZLES: TWO SYMPTOMS OF THE SAME ILLNESS?

2013 ◽  
Vol 19 (2) ◽  
pp. 446-464 ◽  
Author(s):  
Carlos E. da Costa ◽  
João V. Issler ◽  
Paulo F. Matos
Keyword(s):  
Euler Equations ◽  
Equity Premium ◽  
Financial Data ◽  
Stochastic Discount Factor ◽  
Foreign Markets ◽  
Forward Premium Puzzle ◽  
Forward Premium ◽  
Premium Puzzle ◽  
The Moment ◽  
Moment Restrictions

We build a stochastic discount factor—SDF—using U.S. domestic financial data only, and provide evidence that it accounts for stylized facts about foreign markets that escape SDFs generated by consumption-based models. When our SDF is interpreted as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign asset prices. In our tests, we address predictability, a defining feature of the forward premium puzzle—FPP—by using instruments that are known to forecast excess returns in the moment restrictions associated with Euler equations both in the equity and in the foreign markets.

One-class autoencoder approach for optimal electrode set identification in wearable EEG event monitoring*

2021 ◽  
Author(s):  
Laura M. Ferrari ◽  
Guy Abi Hanna ◽  
Paolo Volpe ◽  
Esma Ismailova ◽  
Francois Bremond ◽  
...  
Keyword(s):  
Event Monitoring ◽  
Wearable Eeg ◽  
Set Identification

The Identification Zoo: Meanings of Identification in Econometrics

2019 ◽  
Vol 57 (4) ◽  
pp. 835-903 ◽  
Author(s):  
Arthur Lewbel
Keyword(s):  
Structural Models ◽  
Reduced Form ◽  
Weak Identification ◽  
Set Identification ◽  
New Framework

Over two dozen different terms for identification appear in the econometrics literature, including set identification, causal identification, local identification, generic identification, weak identification, identification at infinity, and many more. This survey: (i) gives a new framework unifying existing definitions of point identification; (ii) summarizes and compares the zooful of different terms associated with identification that appear in the literature; and (iii) discusses concepts closely related to identification, such as normalizations and the differences in identification between structural models and causal, reduced form models. ( JEL C01, C20, C50)

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