2 papers
econ.EM2026
Granular Instrumental Variables: Estimation and Inference
Jinyong Hahn, Niu He, Zhipeng Liao +1
We develop an estimation and inference framework for granular instrumental variables (GIVs) in models with latent aggregate shocks. Our key insight is that valid GIVs are character…
q-fin.PM2025
Testing for the Minimum Mean-Variance Spanning Set
Zhipeng Liao, Bin Wang, Wenyu Zhou
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…