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math.ST2019★ 1 cited
The Empirical Saddlepoint Estimator
Benjamin Holcblat, Fallaw Sowell
We define a moment-based estimator that maximizes the empirical saddlepoint (ESP) approximation of the distribution of solutions to empirical moment conditions. We call it the ESP…
math.ST2015
On econometric inference and multiple use of the same data
Benjamin Holcblat, Steffen Grønneberg
In fields that are mainly nonexperimental, such as economics and finance, it is inescapable to compute test statistics and confidence regions that are not probabilistically indepen…