On empirical likelihood for a semiparametric mixture model
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Plant and animal studies of quantitative trait loci provide data which arise from mixtures of distributions with known mixing proportions. Previous approaches to estimation involve modelling the distributions parametrically. We propose a semiparametric alternative which assumes that the log ratio of the component densities satisfies a linear model, with the baseline density unspecified. It is demonstrated that a constrained empirical likelihood has an irregularity under the null hypothesis that the two densities are equal. A factorisation of the likelihood suggests a partial empirical likelihood which permits unconstrained estimation of the parameters, and which is shown to give consistent and asymptotically normal estimators, regardless of the null. The asymptotic null distribution of the log partial likelihood ratio is chi‐squared. Theoretical calculations show that the procedure may be as efficient as the full empirical likelihood in the regular set‐up. The usefulness of the robust methodology is illustrated with a rat study of breast cancer resistance genes.
BLP 模型中的条件矩估计与推断
The random-coefficient demand model of Berry, Levinsohn, and Pakes (1995) is commonly estimated by the generalized method of moments (GMM), using an unconditional moment restriction with a fixed set of instruments. Identification of the model, however, rests on a conditional moment restriction. The two are not equivalent: the unconditional restriction may admit additional parameter values. We construct a counterexample in which the model is identified by the conditional…
必须追求效率:模糊性、模型误设与变分偏好
This article introduces a framework for evaluating statistical decisions under both prior ambiguity and likelihood misspecification. We begin with an ambiguity set - a frequentist model that pairs a possibly misspecified likelihood with every possible prior - and uniformly expand it by a Kullback-Leibler radius to accommodate likelihood misspecification. We show that optimal decisions under this framework are equivalent to minimax decisions with an exponentially tilted loss…
允许反馈的非线性面板数据模型矩约束
Many panel data methods, while allowing for general dependence between covariates and time-invariant agent-specific heterogeneity, place strong a priori restrictions on feedback: how past outcomes, covariates, and heterogeneity map into future covariate levels. Ruling out feedback entirely, as often occurs in practice, is unattractive in many dynamic economic settings. We provide a general characterization of all feedback and heterogeneity robust (FHR) moment conditions for…
高度分层实验的估计效率
This paper studies the use of highly stratified designs for the efficient estimation of a large class of treatment effect parameters that arise in the analysis of experiments. By a “highly stratified” design, we mean experiments in which units are divided into blocks of a fixed size and a proportion within each block is assigned to a binary treatment uniformly at random. The class of parameters considered are those that can be expressed as the solution to a set of moment…
条件矩限制的局部稳健核设定检验
We develop kernel-based specification tests for semiparametric conditional moment models with high-dimensional nuisance parameters, extending existing conditional moment tests---which typically require asymptotically linear nuisance estimators---to accommodate modern machine-learning methods. The proposed locally robust kernel tests combine Neyman-orthogonal moments, cross-fitting, and reproducing kernel Hilbert space methods, yielding inference that is first-order…
Napkin 因果图下的因果推断
Unmeasured confounding can render identification strategies based on adjustment functionals invalid. We study the "Napkin" graph, a causal structure that encapsulates features of M-bias, instrumental variables, and classical back-door and front-door settings, yet identifies the average treatment effect through a nonstandard ratio of two g-formulas. We develop influence-function-based estimators for this functional, including doubly-robust one-step and targeted minimum…