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弱工具变量下得分检验自助法的有效性AI 解读

It is well-known that size adjustments based on bootstrapping the t-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. In this paper, we provide a theoretical proof that guarantees the validity of the bootstrap for the score statistic. This theory does not follow from standard results, since the score statistic is not a smooth function of sample means and some parameters are not consistently estimable when the…

存在无应答的分层样本：伪经验似然方法AI 解读

Nonresponse is common in surveys. When the response probability of a survey variable Y depends on Y through an observed auxiliary categorical variable Z (i.e., the response probability of Y is conditionally independent of Y given Z), a simple method often used in practice is to use Z categories as imputation cells and construct estimators by imputing nonrespondents or reweighting respondents within each imputation cell. This simple method, however, is inefficient when some Z…

平稳自助法方差札记AI 解读

Because the stationary bootstrap resamples data blocks of random length, this method has been thought to have the largest asymptotic variance among block bootstraps Lahiri [Ann. Statist. 27 (1999) 386–404]. It is shown here that the variance of the stationary bootstrap surprisingly matches that of a block bootstrap based on nonrandom, nonoverlapping blocks. This argument translates the variance expansion into the frequency domain and provides a unified way of determining…

线性协变量含测量误差的半参数变系数部分线性模型推断AI 解读

We study semiparametric varying-coefficient partially linear models when some linear covariates are not observed, but ancillary variables are available. Semiparametric profile least-square-based estimation procedures are developed for parametric and nonparametric components after we calibrate the error-prone covariates. Asymptotic properties of the proposed estimators are established. We also propose the profile least-square-based ratio test and Wald test to identify…

共同函数主成分AI 解读

Functional principal component analysis (FPCA) based on the Karhunen–Loève decomposition has been successfully applied in many applications, mainly for one sample problems. In this paper we consider common functional principal components for two sample problems. Our research is motivated not only by the theoretical challenge of this data situation, but also by the actual question of dynamics of implied volatility (IV) functions. For different maturities the log-returns of…

混合分类与连续数据的分布相等非参数检验AI 解读

In this paper we consider the problem of testing for equality of two density or two conditional density functions defined over mixed discrete and continuous variables. We smooth both the discrete and continuous variables, with the smoothing parameters chosen via least-squares cross-validation. The test statistics are shown to have (asymptotic) normal null distributions. However, we advocate the use of bootstrap methods in order to better approximate their null distribution…

预先调整确定性项的系统协整检验自助法AI 解读

In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). The asymptotic properties of the bootstrap test procedures are derived, and their small-sample properties are studied. The simulation study also considers the standard asymptotic test versions and the…

通过降维进行回归模型检验AI 解读

Lack-of-fit checking for parametric and semiparametric models is essential in reducing misspecification. The efficiency of most existing model-checking methods drops rapidly as the dimension of the covariates increases. We propose to check a model by projecting the fitted residuals along a direction that adapts to the systematic departure of the residuals from the desired pattern. Consistency of the method is proved for parametric and semiparametric regression models. A…

非齐次空间点过程的快速分块方差估计AI 解读

We introduce two new variance estimation procedures that use non-overlapping and overlapping blocks, respectively. The non-overlapping blocks estimator can be viewed as the limit of the thinned block bootstrap estimator recently proposed in Guan Loh (2007), by letting the number of thinned processes and bootstrap samples therein both increase to infinity. The non-overlapping blocks estimator can be obtained quickly since it does not require any thinning or bootstrap steps,…

降低平滑参数选择中交叉验证的变异性AI 解读

One of the attractions of crossvalidation, as a tool for smoothing-parameter choice, is its applicability to a wide variety of estimator types and contexts. However, its detractors comment adversely on the relatively high variance of crossvalidatory smoothing parameters, noting that this compromises the performance of the estimators in which those parameters are used. We show that the variability can be reduced simply, significantly and reliably by employing bootstrap…

不平等、贫困与福利的广义基尼指数统计推断AI 解读

This article considers statistical inference for consistent estimators of generalized Gini indices of inequality, poverty, and welfare. Our method does not require grouping the population into a fixed number of quantiles. The empirical indices are shown to be asymptotically normally distributed using functional limit theory. Easily computed asymptotic variance expressions are obtained using influence functions. Inference based on first-order asymptotics is then compared with…

国际产出趋同：来自自相关函数方法的证据AI 解读

Abstract This paper uses an autocorrelation function (ACF) approach to develop a new testing procedure for international output convergence. We define convergence in terms of sample ACFs of detrended output per capita, and construct an inference set‐up based on resampling and subsampling techniques for dependent data. Using per capita GDP for 15 OECD countries observed over a century, we find that the hypothesis of conditional convergence is unsupported; that, the USA apart,…

矩不等式置信区间端点的自助法与 m out of n 自助法失效AI 解读

This paper analyses the finite-sample and asymptotic properties of several bootstrap and m out of n bootstrap methods for constructing confidence interval (CI) endpoints in models defined by moment inequalities. In particular, we consider using these methods directly to construct CI endpoints. By considering two very simple models, the paper shows that neither the bootstrap nor the m out of n bootstrap is valid in finite samples or in a uniform asymptotic sense in general…

混合与检验尺寸校正的子抽样方法AI 解读

This paper considers inference in a broad class of nonregular models. The models considered are nonregular in the sense that standard test statistics have asymptotic distributions that are discontinuous in some parameters. It is shown in Andrews and Guggenberger (2009a) that standard fixed critical value, subsampling, and m out of n bootstrap methods often have incorrect asymptotic size in such models. This paper introduces general methods of constructing tests and…

已实现波动率的自助法推断AI 解读

We propose bootstrap methods for a general class of nonlinear transformations of realized volatility which includes the raw version of realized volatility and its logarithmic transformation as special cases. We consider the independent and identically distributed (i.i.d.) bootstrap and the wild bootstrap (WB), and prove their first-order asymptotic validity under general assumptions on the log-price process that allow for drift and leverage effects. We derive Edgeworth…

通过阈值化实现协方差正则化AI 解读

This paper considers regularizing a covariance matrix of p variables estimated from n observations, by hard thresholding. We show that the thresholded estimate is consistent in the operator norm as long as the true covariance matrix is sparse in a suitable sense, the variables are Gaussian or sub-Gaussian, and (log p)/n→0, and obtain explicit rates. The results are uniform over families of covariance matrices which satisfy a fairly natural notion of sparsity. We discuss an…

门限自回归中的单位根检验：渐近理论与残差区块自助法AI 解读

This paper develops a test of the unit root null hypothesis against a stationary threshold process. This testing problem is nonstandard and complicated because a parameter is unidentified and the process is nonstationary under the null hypothesis. We derive an asymptotic distribution for the test, which is not pivotal without simplifying assumptions. A residual-based block bootstrap is proposed to calculate the asymptotic p -values. The asymptotic validity of the bootstrap…

非参数前沿模型中 DEA 估计量的渐近理论与一致自助法AI 解读

Nonparametric data envelopment analysis (DEA) estimators based on linear programming methods have been widely applied in analyses of productive efficiency. The distributions of these estimators remain unknown except in the simple case of one input and one output, and previous bootstrap methods proposed for inference have not been proved consistent, making inference doubtful. This paper derives the asymptotic distribution of DEA estimators under variable returns to scale.…

竞争风险及复杂多状态模型的非参数分位数推断札记AI 解读

Nonparametric quantile inference for competing risks has recently been studied by Peng & Fine (2007). Their key result establishes uniform consistency and weak convergence of the inverse of the Aalen–Johansen estimator of the cumulative incidence function, using the representation of the cumulative incidence estimator as a sum of independent and identically distributed random variables. The limit process is of a form similar to that of the standard survival result, but with…

广义混合效应模型中的半参数推断AI 解读

Summary The paper presents a study of the generalized partially linear model including random effects in its linear part. We propose an estimator that combines likelihood approaches for mixed effects models, with kernel methods. Following the methodology of Härdle and co-workers, we introduce a test for the hypothesis of a parametric mixed effects model against the alternative of a semiparametric mixed effects model. The critical values are estimated by using a bootstrap…

非平稳波动下的持续性变化检验AI 解读

In this paper we consider tests for the null of (trend-) stationarity against the alternative of a change in persistence at some (known or unknown) point in the observed sample, either from I(0) to I(1) behaviour or vice versa, of, inter alia, [Kim, J., 2000. Detection of change in persistence of a linear time series. Journal of Econometrics 95, 97-116]. We show that in circumstances where the innovation process displays non-stationary unconditional volatility of a very…

工具变量线性方程中的 Bootstrap 推断AI 解读

We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics--Student's t, Anderson--Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio (LR)--as functions of six random quantities leads to a number of interesting results about the properties of the tests under weak-instrument asymptotics. We then propose several new…

反卷积问题中的分布、矩与分位数估计AI 解读

When using the bootstrap in the presence of measurement error, we must first estimate the target distribution function; we cannot directly resample, since we do not have a sample from the target. These and other considerations motivate the development of estimators of distributions, and of related quantities such as moments and quantiles, in errors-in-variables settings. We show that such estimators have curious and unexpected properties. For example, if the distributions of…

加权样本的极限定理及其在序贯蒙特卡洛方法中的应用AI 解读

In the last decade, sequential Monte Carlo methods (SMC) emerged as a key tool in computational statistics [see, e.g., Sequential Monte Carlo Methods in Practice (2001) Springer, New York, Monte Carlo Strategies in Scientific Computing (2001) Springer, New York, Complex Stochastic Systems (2001) 109–173]. These algorithms approximate a sequence of distributions by a sequence of weighted empirical measures associated to a weighted population of particles, which are generated…