{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,8]],"date-time":"2026-10-08T07:56:28Z","timestamp":1791446188193,"version":"4.3.3"},"reference-count":50,"publisher":"The Econometric Society","issue":"1","license":[{"start":{"date-parts":[[2022,1,1]],"date-time":"2022-01-01T00:00:00Z","timestamp":1640995200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["QE"],"abstract":"<jats:p>This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high\u2010dimensional multiplicative moment conditions. Main examples are functionals of stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose to estimate the latent weight function by an information theoretic approach combined with the<jats:italic>\u2113<\/jats:italic><jats:sub>1<\/jats:sub>\u2010penalization technique to deal with high\u2010dimensional moment conditions under sparsity. We study asymptotic properties of the proposed method and illustrate it by a theoretical example on treatment effect analysis and empirical example on estimation of stochastic discount factors.<\/jats:p>","DOI":"10.3982\/qe1603","type":"journal-article","created":{"date-parts":[[2022,1,21]],"date-time":"2022-01-21T13:51:47Z","timestamp":1642773107000},"page":"63-94","source":"Crossref","is-referenced-by-count":5,"title":["Information theoretic approach to high\u2010dimensional multiplicative models: Stochastic discount factor and treatment effect"],"prefix":"10.3982","volume":"13","author":[{"given":"Chen","family":"Qiu","sequence":"first","affiliation":[{"name":"Department of Economics, Cornell University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Taisuke","family":"Otsu","sequence":"additional","affiliation":[{"name":"Department of Economics, London School of Economics"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2022]]},"reference":[{"key":"quan200180-bib-0001","unstructured":"Athey, S., G. 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