Information theoretic approach to high‐dimensional multiplicative models: Stochastic discount factor and treatment effect

This paper is concerned with estimation of functionals a latent weight function that satisfies possibly high‐dimensional multiplicative moment conditions. Main examples are stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose to estimate the by an information theoretic approach combined ℓ 1 ‐penalization technique deal conditions under sparsity. study asymptotic properties proposed method illustrate it theoretical example on effect analysis empirical factors.