Arbeitspapier
Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix
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 of the GAR statistic is analysed using a Laurent series expansion around the points of moment variance singularity. Under a condition termed first order moment singularity the GAR statistic is shown to possess a limiting chi-square distribution on parameter sequences converging to the true parameter value. Violation, however, of this condition renders the GAR statistic unbounded asymptotically. The paper details an appropriate discretisation of the parameter space to implement a feasible GAR-based confidence region that contains the true parameter value with pointwise asymptotically correct size. Simulation evidence is provided that demonstrates the efficacy of the GAR-based approach to moment-based inference described in this paper.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP05/19
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Model Construction and Estimation
Model Evaluation, Validation, and Selection
- Thema
-
Laurent series expansion
moment indicator
parameter sequences
singular moment matrix
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Grant, Nicky L.
Smith, Richard J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2019
- DOI
-
doi:10.1920/wp.cem.2019.0519
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Grant, Nicky L.
- Smith, Richard J.
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2019
Ähnliche Objekte (12)
The Variance Ratio Statistic at Large Horizons
Simpler bootstrap estimation of the asymptotic variance of U-statistic based estimators
UK Statistic
Variance estimation using memory type estimators based on EWMA statistic for time scaled surveys in stratified sampling
The Bayesian Score Statistic
Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic
Wavelet: from statistic to geometry
Characterizing the supernorm partition statistic
Generalised cosets
Generalised pseudointersections
Sampling variance of flood quantiles from the generalised logistic distribution estimated using the method of L-moments
An improved characterisation of regular generalised functions of white noise and an application to singular SPDEs
The Variance Ratio Statistic at Large Horizons
Simpler bootstrap estimation of the asymptotic variance of U-statistic based estimators
UK Statistic
Variance estimation using memory type estimators based on EWMA statistic for time scaled surveys in stratified sampling
The Bayesian Score Statistic
Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic
Wavelet: from statistic to geometry
Characterizing the supernorm partition statistic
Generalised cosets
Generalised pseudointersections
Sampling variance of flood quantiles from the generalised logistic distribution estimated using the method of L-moments
An improved characterisation of regular generalised functions of white noise and an application to singular SPDEs
The Variance Ratio Statistic at Large Horizons
Simpler bootstrap estimation of the asymptotic variance of U-statistic based estimators
UK Statistic
Variance estimation using memory type estimators based on EWMA statistic for time scaled surveys in stratified sampling
The Bayesian Score Statistic
Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic
Wavelet: from statistic to geometry
Characterizing the supernorm partition statistic
Generalised cosets
Generalised pseudointersections
Sampling variance of flood quantiles from the generalised logistic distribution estimated using the method of L-moments