Konrad Menzel

Konrad Menzel
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Konrad Menzel

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Statistics - Applications (1)
Statistics - Methodology (1)

Publications Authored By Konrad Menzel

We propose a bootstrap procedure for data that may exhibit clustering in two or more dimensions. We use insights from the theory of generalized U-statistics to analyze the large-sample properties of statistics that are sample averages from the observations pooled across clusters. The asymptotic distribution of these statistics may be non-standard if there is no clustering in means. Read More

In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ) sets of admissible stochastic discount factors, Markowitz-Fama (MF) sets of mean-variances for asset portfolio returns, and the set of structural elasticities in Chetty (2012)'s analysis of demand with optimization frictions. We show that the econometric structure of the problem allows us to construct convenient and powerful confidence regions based upon the weighted likelihood ratio and weighted Wald (directed weighted Hausdorff) statistics. Read More