Search Results - subject:"Statistical inference"

Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix

Grant, Nicky L.; Smith, Richard J. - 2019 - This Draft: January 2019

The particular concern of this paper is the construction of a confidence region with pointwise asymptotically correct size for the true value of a parameter of interest based on the generalized Anderson-Rubin (GAR) statistic when the moment variance matrix is singular. The large sample behaviour...

Persistent link: https://www.econbiz.de/10011962418

Remarks on statistical inference for statistical decisions

Manski, Charles F. - 2019

sequential form [data → inference → decision]. This paper offers remarks on the use of statistical inference in statistical … statistical decision function (SDF) embraces all mappings of the form [data → decision]. An SDF need not perform statistical … inference; that is, it need not use data to draw conclusions about the true state of nature. Inference-based SDFs have the …

Persistent link: https://www.econbiz.de/10011962436

Randomization inference for difference-in-differences with few treated clusters

MacKinnon, James G.; Webb, Matthew - 2019

Inference using difference-in-differences with clustered data requires care. Previous research has shown that, when there are few treated clusters, t-tests based on cluster-robust variance estimators (CRVEs) severely overreject, and different variants of the wild cluster bootstrap can either...

Persistent link: https://www.econbiz.de/10011962945

A generalized counterfactual approach to decomposing differences between populations

Sudharsanan, Nikkil; Bijlsma, Maarten J. - 2019

Persistent link: https://www.econbiz.de/10011979415

Identification‐robust nonparametric inference in a linear IV model

Antoine, Bertille; Lavergne, Pascal - 2019

Persistent link: https://www.econbiz.de/10012181463

Wild bootstrap and asymptotic inference with multiway clustering

MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2019

We study two cluster-robust variance estimators (CRVEs) for regression models with clustering in two dimensions and give conditions under which t-statistics based on each of them yield asymptotically valid inferences. In particular, one of the CRVEs requires stronger assumptions about the nature...

Persistent link: https://www.econbiz.de/10012183373

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional time series taking values in the Hilbert space of square-integrable functions defined on a compact interval. The procedure is based on sequential application of a proposed test...

Persistent link: https://www.econbiz.de/10012183480

Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks : open access journal 7 (2019) 2/56, pp. 1-14

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

Persistent link: https://www.econbiz.de/10012019030

The Perry preschoolers at late midlife : a study in design-specific inference

Heckman, James J.; Karapakula, Ganesh - 2019

This paper presents the first analysis of the life course outcomes through late midlife (around age 55) for the participants of the iconic Perry Preschool Project, an experimental high-quality preschool program for disadvantaged African-American children in the 1960s. We discuss the design of...

Persistent link: https://www.econbiz.de/10012019246

Indirect inference : which moments to match?

Frazier, David T.; Renault, Eric - In: Econometrics : open access journal 7 (2019) 1/14, pp. 1-17

The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating equations. In contrast to this standard...

Persistent link: https://www.econbiz.de/10012025566