Paper: arXiv 2501.19213

Abstract

This paper explores the estimation and inference of the minimum spanning set (MSS), the smallest subset of risky assets that spans the mean-variance efficient frontier of the full asset set. We establish identification conditions for the MSS and develop a novel procedure for its estimation and inference. Our theoretical analysis shows that the proposed MSS estimator covers the true MSS with probability approaching 1 and converges asymptotically to the true MSS at any desired confidence level, such as 0.95 or 0.99. Monte Carlo simulations confirm the strong finite-sample performance of the MSS estimator. We apply our method to evaluate the relative importance of individual stock momentum and factor momentum strategies, along with a set of well-established stock return factors. The empirical results highlight factor momentum, along with several stock momentum and return factors, as key drivers of mean-variance efficiency. Furthermore, our analysis uncovers the sources of contribution from these factors and provides a ranking of their relative importance, offering new insights into their roles in mean-variance analysis.

Complexity vs Empirical Score

  • Math Complexity: 8.5/10
  • Empirical Rigor: 7.5/10
  • Quadrant: Holy Grail — high math complexity, high empirical rigor

Why this score: The paper presents advanced econometric theory, including set inference, moving block bootstrap, and step-down procedures, resulting in high math complexity; its Monte Carlo simulations under AR-GARCH and real-data application to momentum factors demonstrate significant data/implementation effort.

Research Flowchart

  flowchart TD
  A["Research Goal: Identify Minimum<br>Mean-Variance Spanning Set MSS"] --> B["Methodology:<br>Develop Estimation & Inference Procedure"]
  B --> C["Data Inputs:<br>Simulations & Empirical Stock/Factor Returns"]
  C --> D["Computational Process:<br>Estimate MSS Coverage & Convergence"]
  D --> E["Key Findings:<br>Factor Momentum & Stock Factors<br>Drive Efficiency"]

Cited References (333)

  1. Rational Momentum Effects (2002)
  2. Firm-specific Attributes and the Cross-section of Momentum (2007)
  3. Portfolio Theory (1995)
  4. Mean-variance analysis in portfolio choice and capital markets (2000)
  5. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk (1964)
  6. Factor Momentum Everywhere (2018)
  7. Cross-stock Momentum and Factor Momentum (2023)
  8. Factor Momentum (2023)
and 325 more
  1. Test Assets and Weak Factors (2024)
  2. Dissecting Anomalies with a Five-Factor Model (2016)
  3. Choosing Factors (2018)
  4. Machine Learning in the Chinese Stock Market (2022)
  5. Scaled PCA: A New Approach to Dimension Reduction (2022)
  6. Shrinking Factor Dimension: A Reduced-Rank Approach (2023)
  7. A Five-Factor Asset Pricing Model (2015)
  8. Implications of Security Market Data for Models of Dynamic Economies (1991)
  9. Momentum (2011)
  10. On Persistence in Mutual Fund Performance (1997)
  11. Empirical Asset Pricing via Machine Learning (2020)
  12. Macro Factors in Bond Risk Premia (2009)
  13. Open Source Cross-Sectional Asset Pricing (2022)
  14. Replicating Anomalies (2020)
  15. Shrinking the Cross-Section (2020)
  16. Momentum Strategies Based on Reward–Risk Stock Selection Criteria (2007)
  17. Do Industries Explain Momentum? (1999)
  18. Is Momentum Really Momentum? (2012)
  19. The Impact of Industry Factors in Asset-Pricing Tests (1998)
  20. The Efficiency of Sponsor and Participant Portfolio Choices in 401(k) Plans (2010)
  21. Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach (2012)
  22. On the class of elliptical distributions and their applications to the theory of portfolio choice (1983)
  23. Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation (2009)
  24. Spanning Tests for Assets with Option-like Payoffs: T he Case of Hedge Funds (2020)
  25. Currency Hedging for International Portfolios (1993)
  26. General Tests of Latent Variable Models and Mean-Variance Spanning (1993)
  27. Taming the factor zoo: A test of new factors (2020)
  28. The Adequacy of Investment Choices Offered by 401(k) Plans (2006)
  29. Volatility Bounds for Stochastic Discount Factors: T ests and Implications from International Financial Markets (1993)
  30. Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: T he Case of Emerging Markets (2001)
  31. A characterization of the distributions that imply mean-variance utility functions (1983)
  32. Necessary conditions for the CAPM (1997)
  33. Diversification, Integration and Emerging Market Closed-End Funds (1996)
  34. Testing for Prospect and Markowitz Stochastic Dominance Efficiency (2017)
  35. Sparse Spanning Portfolios and Under-diversification with Second-Order Stochastic Dominance — → 2402.01951
  36. Spanning Tests for M arkowitz Stochastic Dominance (2020)
  37. Stochastic Spanning (2019)
  38. Evidence of Predictable Behavior of Security Returns (1990)
  39. The Cross-Section of Volatility and Expected Returns (2006)
  40. Quality Minus Junk (2019)
  41. The New Issues Puzzle (1995)
  42. Does the Stock Market Overreact? (1985)
  43. Liquidity Risk and Expected Stock Returns (2003)
  44. The Relationship between Earnings’ Yield, Market Value and Return for NYSE Common Stocks: Further Evidence (1983)
  45. Betting against Beta (2014)
  46. Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1996)
  47. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)
  48. Capital Investments and Stock Returns (2004)
  49. The Other Side of Value: The Gross Profitability Premium (2013)
  50. Persuasive Evidence of Market Inefficiency (1985)
  51. The Relationship between Return and Market Value of Common Stocks (1981)
  52. Factor Momentum and the Momentum Factor (2022)
  53. High-Dimensional Mean-Variance Spanning Tests — → 2403.17127
  54. Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)
  55. Measuring uncertainty (2015)
  56. Credit spreads and business cycle fluctuations (2012)
  57. Random forests (2001)
  58. Macroeconomic forecasting using diffusion indexes (2002)
  59. Bond risk premiums with machine learning (2021)
  60. Forecasting inflation in a data-rich environment: the benefits of machine learning methods (2021)
  61. Why is It So Difficult to Beat the Random Walk Forecast of Exchange Rates? (2003)
  62. Forecasting Inflation (2013)
  63. Modeling Inflation After the Crisis (2010)
  64. The Distribution of Realized Exchange Rate Volatility (2001)
  65. Intraday Periodicity and Volatility Persistence in Financial Markets (1997)
  66. Intraday Periodicity and Volatility Persistence in Financial Markets (1997)
  67. High-Frequency Financial Econometrics (2014)
  68. Robust Statistics (2004)
  69. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
  70. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2006)
  71. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
  72. Power and Bipower Variation with Stochastic Volatility and Jumps (2004)
  73. Convergence of Probability Measures (1968)
  74. Efficiency Bounds for Semiparametric Regression (1992) — link
  75. Transform Analysis and Asset Pricing for Affine Jump - Diffusions (2000)
  76. Comovements in Stock Prices in the Very Short Run. (1979) — link
  77. Conditioning Variables and the Cross Section of Stock Returns. (1999) — link
  78. Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas. (1987)
  79. Identifying the Brownian Covariation from the Co-jumps given Discrete Observations (2012)
  80. The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)
  81. Statistical Estimation : Asymptotic Theory (1981)
  82. Microstructure Noise in the Continuous Case: The Pre-Averaging Approach (2009)
  83. Discretization of Processes (2012)
  84. Limit Theorems for Stochastic Processes (2003)
  85. Conditional Risk Premia in Currency Markets and Other Asset Classes (2014)
  86. Disentangling the Jumps of the Diffusion in a Geometric Jumping B rownian Motion (2001)
  87. Non-parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)
  88. Option Pricing When Underlying Stock Returns Are Discontinuous (1976)
  89. Stochastic Integration and Differential Equations (2004)
  90. Continuous Martingales and Brownian Motion (1999)
  91. Empirical Dynamic Asset Pricing (2006)
  92. Efficient Nonparametric Testing and Estimation (1956) — link
  93. Unit Roots, Structural Breaks and Trends (1994)
  94. Jumps and Betas : A New Framework for Disentangling and Estimating Systematic Risks (2010)
  95. Asymptotic Statistics (1998)
  96. Weak Convergence and Empirical Processes (1996)
  97. The Conditional CAPM Does Not Explain Asset-Pricing Anomalies (2006)
  98. Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-averaging Method (2013)
  99. Micro Effects of Macro Announcements: R eal-Time Price Discovery in Foreign Exchange (2003)
  100. Large - Dimensional Factor Modeling based on High - Frequency Observations (2015)
  101. Understanding Systematic Risk : A High - Frequency Approach (2015)
  102. Jump Regressions (2017)
  103. Rank Tests at Jump Events (2017)
  104. Inference Theory on Volatility Functional Dependencies (2016)
  105. Mixed-scale Jump Regressions with Bootstrap Inference (2017)
  106. Commnon Risk Factors in the Returns on Stocks and Bonds (1993)
  107. Cross-Section Regression with Common Shocks (2005)
  108. Tests of Conditional Predictive Ability (2006)
  109. Determining the Number of Factors in Approximate Factor Models (2002) — link
  110. Forecasting Using Principal Components from a Large Number of Predictors (2002)
  111. Inferential Theory for Factor Models of Large Dimensions (2003)
  112. Limit Theory for Panel Data Models with Cross Sectional Dependence and Sequential Exogeneity (2013)
  113. Realized Kernels in Practice: Trades and Quotes (2009)
  114. Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016)
  115. Efficient Semiparametric Estimation of the Fama-French Model and Extensions (2012)
  116. Panel Data Models with Interactive Fixed Effects (2009) — link
  117. Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects (2015)
  118. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006) — link
  119. Asset Pricing: A Tale of Two Days (2014)
  120. Extreme Correlation of International Equity Markets (2001)
  121. Asymmetric Correlations of Equity Portfolios (2002)
  122. Regression Discontinuity Designs in Economics (2010) — link
  123. The Cyclical Behavior of Equilibrium Unemployment and Vacancies (2005) — link
  124. The Cyclical Behavior of Equilibrium Unemployment and Vacancies Revisited (2008) — link
  125. The Unemployment Volatility Puzzle: Is Wage Stickiness the Answer? (2009) — link
  126. The Limited Influence of Unemployment on the Wage Bargain (2008) — link
  127. Short-Run Equilibrium Dynamics of Unemployment, Vacancies, and Real Wages (1985) — link
  128. Job Creation and Job Destruction in the Theory of Unemployment (1994) — link
  129. Equilibrium Unemployment Theory (2000)
  130. More on Unemployment and Vacancy Fluctuations (2007)
  131. The Consequences of Rigid Wages in Search Models (2004) — link
  132. Business Cycles, Unemployment Insurance, and the Calibration of Matching Models (2008)
  133. Business Cycles, Unemployment Insurance, and the Calibration of Matching Models (2008)
  134. The Cyclicality of the Opportunity Cost of Employment (2016)
  135. The Fundamental Surplus (2017)
  136. Unemployment and Vacancy Flucutations in the Maching Model: Inspecting the Mechanism (2005)
  137. Unemployment Fluctuations with Staggered Nash Wage Bargaining (2009) — link
  138. Employment Fluctuations with Equilibrium Wage Stickiness (2005) — link
  139. Job Destruction and Propagation of Shocks (2000) — link
  140. GMM with Weak Identification (2000) — link
  141. Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection (2010) — link
  142. Technology-Policy Interaction in Frictional Labour-Markets (2007) — link
  143. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix (1987) — link
  144. Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes (1992) — link
  145. Gaussian approximation for high dimensional time series (2017) — link
  146. Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models (1991) — link
  147. Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices (2000) — link
  148. Gaussian Approximation of Suprema of Empirical Processes (2014) — link
  149. Gaussian Approximations and Multiplier Bootstrap for Maxima of Sums of High-dimensional Random Vectors (2013) — link
  150. Intersection Bounds: Estimation and Inference (2013) — link
  151. Convergence Rates and Asymptotic Normality for Series Estimators (1997) — link
  152. Large Sample Sieve Estimation of Semi-Nonparametric Models (2007) — link
  153. Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions (2003) — link
  154. Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results (2015) — link
  155. On the asymptotic normality of Fourier flexible form estimates (1991) — link
  156. Estimating a Regression Function (1990) — link
  157. Nonlinear system theory: Another look at dependence (2005) — link
  158. Stochastic Limit Theory (1994)
  159. A User’s Guide to Measure Theoretic Probability (2001)
  160. On the Error of the Gaussian Approximation for Convolutions (1978) — link
  161. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991) — link
  162. On the central limit theorem in Rp when p \textrightarrow ∞ (1986) — link
  163. High-Frequency Financial Econometrics (2014)
  164. Discretization of Processes (2012)
  165. Continuous Auctions and Insider Trading (1985)
  166. The Price Variability-volume Relationship on Speculative Markets (1983)
  167. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)
  168. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)
  169. Alternative models for conditional stock volatility (1990) — link
  170. Insider Trading, Stochastic Liquidity, and Equilibrium Prices (2016)
  171. Asymptotic Theory for Econometricians (2001)
  172. The model confidence set (2011)
  173. A reality check for data snooping (2000)
  174. Stepwise multiple testing as formalized data snooping (2005)
  175. The Relation between Price Changes and Trading Volume: A Survey (1987)
  176. Stock Prices and Volume (1992) — link
  177. Volume, Volatility, and Public News Announcements (2018)
  178. Nonlinear Dynamic Structures (1993) — link
  179. Volume, volatility, and leverage: A dynamic analysis (1996) — link
  180. Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards F test truncation rule (1991) — link
  181. On the asymptotic normality of Fourier flexible form estimates (1991) — link
  182. Continuous Auctions and Insider Trading (1985)
  183. Trading Volume and Price Reactions to Public Announcements (1991) — link
  184. Differential Interpretation of Public Signals and Trade in Speculative Markets (1995) — link
  185. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation (1982)
  186. Measuring and Testing the Impact of News on Volatility (1993)
  187. Generalized autoregressive conditional heteroskedasticity (1986) — link
  188. Conditional Heteroskedasticity in Asset Returns: A New Approach (1991) — link
  189. Chapter 58 - Calibration (2001) — link
  190. Large Sample Properties of Generalized Method of Moments Estimators (1982)
  191. Limit Theorems for Stochastic Processes (2003)
  192. Recursive Macroeconomic Theory (2012) — link
  193. Martingale Limit Theory and its Application (1980)
  194. The Computational Experiment: An Econometric Tool (1996) — link
  195. The Empirical Foundations of Calibration (1996) — link
  196. Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions (2015)
  197. Sieve M Inference on Irregular Parameters (2015)
  198. Sieve extremum estimates for weakly dependent data (1998)
  199. Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals (2012)
  200. Sieve inference on possibly misspecified semi-nonparametric time series models (2014)
  201. Sieve Wald and QLR inferences on semi/nonparametric conditional moment models (2015)
  202. Local asymptotics for polynomial spline regression (2003)
  203. Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression (2018)
  204. Multiple Time Series (1970)
  205. A Unified Asymptotic Distribution Theory for Parametric and Non- Parametric Least Squares (2015)
  206. A test for superior predictive ability (2005)
  207. Comparing Nonparametric Versus Parametric Regression Fits (1993) — link
  208. Asymptotic Theory of Integrated Conditional Moment Tests (1997) — link
  209. Consistent Model Specification Tests (1982)
  210. Limit theorems for sums of weakly dependent Banach space valued random variables (1983)
  211. Uniform Inference in Autoregressive Models (2007) — link
  212. A Strong Consistency Proof for Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimators (2000)
  213. Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data (2017)
  214. Generalized Method of Integrated Moments for High-frequency Data (2016)
  215. Disentangling the Jumps of the Diffusion in a G eometric Jumping B rownian M otion (2001)
  216. Efficient Estimation of Integrated Volatility and Related Processes (2016)
  217. Long Memory in Continuous Time Stochastic Volatility Models (1998)
  218. Volatility Occupation Times (2013)
  219. Occupation Densities (1980)
  220. Markov Processes, Gaussian Processes, and Local Times (2006)
  221. Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale (2017)
  222. Nonparametric Filtering of the Realized Spot Volatility: A Kernel-Based Approach (2010)
  223. Long Memory Continuous Time Models (1996)
  224. Quarticity and Other Functionals of Volatility : Efficient Estimation (2013)
  225. Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife (2019)
  226. High-Frequency Identification of Monetary Non-Neutrality: The Information Effect (2018)
  227. Identification Through Heteroskedasticity (2003)
  228. Estimation of Jump Tails (2011)
  229. Identification in Macroeconomics (2018) — link
  230. Risk Preferences and the Macroeconomic Announcement Premium (2018)
  231. Can Information Be Locked Up? Informed Trading Ahead of Macro-News Announcements (2016)
  232. The Fed and Interest Rates - A High-Frequency Identification (2002)
  233. The Impact of Monetary Policy on Asset Prices (2004)
  234. What Explains the Stock Market’s Reaction to Federal Reserve Policy? (2005)
  235. The Pre-FOMC Announcement Drift (2015)
  236. Exact Post-Selection Inference, With Application to the Lasso (2016)
  237. Comparison and Anti-Concentration Bounds for Maxima of Gaussian Random Vectors (2015)
  238. High Dimensional Sparse Econometric Models: An Introduction (2011)
  239. High dimensional sparse econometric models: An introduction (2011)
  240. An Introduction to Probability Theory and Its Applications (1968)
  241. Simultaneous analysis of Lasso and Dantzig selector (2009)
  242. Sparse matrix inversion with scaled lasso (2013)
  243. On cross-validated Lasso (2016) — link
  244. Conditional Superior Predictive Ability (2022)
  245. Gaussian approximation of suprema of empirical processes (2014)
  246. A Simple Approximate Long-Memory Model of Realized Volatility (2009)
  247. Modeling and Forecasting Realized Volatility (2003)
  248. Comparing Predictive Accuracy (1995) — link
  249. Tests of Conditional Predictive Ability (2006)
  250. A tale of two time scales: D etermining integrated volatility with noisy high-frequency data (2005)
  251. The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting (2016) — link
  252. Large Sample Estimation and Hypothesis Testing (1994)
  253. Atomic decomposition by basis pursuit (2001)
  254. Asymptotics for lasso-type estimators (2000)
  255. On the ``degrees of freedom’’ of the lasso (2007)
  256. Regression Shrinkage and Selection via the Lasso (1996)
  257. The Adaptive Lasso and Its Oracle Properties (2006)
  258. Anti-Concentration and Honest, Adaptive Confidence Bands (2014)
  259. Estimation and Testing of Forecast Rationality under Flexible Loss (2005)
  260. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models (1982)
  261. Federal Reserve Information and the Behavior of Interest Rates (2000)
  262. Uniform Nonparametric Inference for Time Series (2020)
  263. Chapter 37 Empirical Process Methods in Econometrics (1994)
  264. Non-Strong Mixing Autoregressive Processes (1984)
  265. A Nearly Independent, but Non-Strong Mixing, Triangular Array (1985)
  266. The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model (1977)
  267. Asymptotic Efficiency in Estimation with Conditional Moment Restrictions (1987)
  268. Efficient Instrumental Variables Estimation of Nonlinear Models (1990)
  269. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)
  270. What do Economists Know? An Empirical Study of Experts’ Expectations (1981)
  271. Choosing the Number of Instruments (2001)
  272. Choosing Instrumental Variables in Conditional Moment Restriction Models (2009)
  273. Consistent Model Specification Tests (1982)
  274. An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model against a Nonparametric Alternative (2001)
  275. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing (2008)
  276. Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain (2012)
  277. Inference on Treatment Effects after Selection among High-Dimensional Controls (2014)
  278. Two-Stage Least Squares and Econometric Systems Linear in Parameters but Nonlinear in the Endogenous Variables (1971)
  279. Does Compulsory School Attendance Affect Schooling and Earnings? (1991)
  280. On Asymptotically Optimal Confidence Regions and Tests for High-Dimensional Models (2014)
  281. Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models (2014)
  282. Confidence Intervals and Hypothesis Testing for High-Dimensional Regression (2014)
  283. Hypothesis Testing in High-Dimensional Regression Under the Gaussian Random Design Model: Asymptotic Theory (2014)
  284. Choosing the Number of Instruments (2001)
  285. Choosing Instrumental Variables in Conditional Moment Restriction Models (2009)
  286. Empirical Likelihood Estimation and Consistent Tests With Conditional Moment Restrictions (2003)
  287. Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques (1990)
  288. Consistent Specification Testing Via Nonparametric Series Regression (1995)
  289. Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms (1996)
  290. A Consistent Conditional Moment Test of Functional Form (1990)
  291. Consistent Model Specification Tests: Kernel-Based Tests versus Bierens’ ICM Tests (2000)
  292. High-Dimensional Graphs and Variable Selection With the Lasso (2006)
  293. Simultaneous Analysis of Lasso and Dantzig Selector (2009)
  294. High-Dimensional Generalized Linear Models and the Lasso (2008)
  295. On Model Selection Consistency of Lasso (2006)
  296. The Sparsity and Bias of the Lasso Selection in High-Dimensional Linear Regression (2008)
  297. Forecasting Economic Time Series Using Targeted Predictors (2008)
  298. Asymptotic Efficiency of Semiparametric Two-step GMM (2014)
  299. Asymptotics of Selective Inference (2017)
  300. Uniform Asymptotic Inference and the Bootstrap After Model Selection (2018)
  301. Exact Post-Selection Inference for Sequential Regression Procedures (2016)
  302. Model Selection and Estimation in Regression With Grouped Variables (2006)
  303. Regularization and Variable Selection via the Elastic Net (2005)
  304. On the Adaptive Elastic-Net With a Diverging Number of Parameters (2009)
  305. Empirical Likelihood-Based Inference in Conditional Moment Restriction Models (2004)
  306. Rational Expectations and the Theory of Price Movements (1961)
  307. Inference Based on Conditional Moment Inequalities (2013)
  308. Inference After Estimation of Breaks (2021)
  309. Inference on Winners (2021)
  310. Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models (2019) — link
  311. A Nondegenerate Vuong Test and Post Selection Confidence Intervals for Semi/nonparametric Models (2020)
  312. Adaptive estimation of a quadratic functional by model selection (2000)
  313. Mean-Variance Spanning (1987)
  314. Sieve M inference on irregular parameters (2014)
  315. On the Inverse of the Sum of Matrices (1981)
  316. Econometrics (2022)
  317. Strong Laws for Dependent Heterogeneous Processes (1991)
  318. Tests of Mean-Variance Spanning (2012)
  319. Mixing: Properties and Examples (1994)
  320. The Jackknife and the Bootstrap for General Stationary Observations (1989)
  321. Moving Blocks Jackknife and Bootstrap Capture Weak Dependence (1992)
  322. The Moving Blocks Bootstrap and Robust Inference for Linear Least Squares and Quantile Regressions (1998)
  323. Spanning Tests in Return and Stochastic Discount Factor Mean–Variance Frontiers: A Unifying Approach (2012)
  324. A Comparison of Mean–Variance Efficiency Tests (2010)
  325. Exact and approximate stepdown methods for multiple hypothesis testing (2005)

2 of 333 cited works are in the corpus; resolved via arXiv source bundles, Semantic Scholar and OpenAlex. Corpus-wide: 2518 linked papers.