Publication Type
Working Paper
Version
publishedVersion
Publication Date
12-2022
Abstract
This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series dependence. New results on uniform growing dimensional Gaussian coupling for general mixingale processes are developed for this purpose, which readily accommodate most applications in economics and finance. The proposed method is applied in a portfolio evaluation context to test for “all-weather” portfolios with uniformly superior conditional Sharpe ratio functions.
Keywords
conditional moment inequality, functional inference, Sharpe ratio, series estimation, uniform validity
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
48
Citation
LI, Jia; LIAO, Zhipeng; and ZHOU, Wenyu.
A general test for functional inequalities. (2022). 1-48.
Available at: https://ink.library.smu.edu.sg/soe_research/2647
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
http://www.econ.ucla.edu/liao/papers_pdf/ncspa.pdf