28,587 research outputs found
Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models
We propose a new adaptive hypothesis test for polyhedral cone (e.g.,
monotonicity, convexity) and equality (e.g., parametric, semiparametric)
restrictions on a structural function in a nonparametric instrumental variables
(NPIV) model. Our test statistic is based on a modified leave-one-out sample
analog of a quadratic distance between the restricted and unrestricted sieve
NPIV estimators. We provide computationally simple, data-driven choices of
sieve tuning parameters and adjusted chi-squared critical values. Our test
adapts to the unknown smoothness of alternative functions in the presence of
unknown degree of endogeneity and unknown strength of the instruments. It
attains the adaptive minimax rate of testing in . That is, the sum of its
type I error uniformly over the composite null and its type II error uniformly
over nonparametric alternative models cannot be improved by any other
hypothesis test for NPIV models of unknown regularities. Data-driven confidence
sets in are obtained by inverting the adaptive test. Simulations confirm
that our adaptive test controls size and its finite-sample power greatly
exceeds existing non-adaptive tests for monotonicity and parametric
restrictions in NPIV models. Empirical applications to test for shape
restrictions of differentiated products demand and of Engel curves are
presented
Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models
We propose a new adaptive hypothesis test for polyhedral cone (e.g., monotonicity, convexity) and equality (e.g., parametric, semiparametric) restrictions on a structural function in a nonparametric instrumental variables (NPIV) model. Our test statistic is based on a modified leave-one-out sample analog of a quadratic distance between the restricted and unrestricted sieve NPIV estimators. We provide computationally simple, data-driven choices of sieve tuning parameters and adjusted chi-squared critical values. Our test adapts to the unknown smoothness of alternative functions in the presence of unknown degree of endogeneity and unknown strength of the instruments. It attains the adaptive minimax rate of testing in L2. That is, the sum of its type I error uniformly over the composite null and its type II error uniformly over nonparametric alternative models cannot be improved by any other hypothesis test for NPIV models of unknown regularities. Data-driven confidence sets in L2 are obtained by inverting the adaptive test. Simulations con rm that our adaptive test controls size and its nite-sample power greatly exceeds existing non-adaptive tests for monotonicity and parametric restrictions in NPIV models. Empirical applications to test for shape restrictions of differentiated products demand and of Engel curves are presented
DOES CONSISTENT AGGREGATION REALLY MATTER?
Consistent aggregation assures that behavioral properties, which apply to disaggregate relationships also, apply to aggregate relationships. The agricultural economics literature is reviewed which has tested for consistent aggregation or measured statistical bias and/or inferential errors due to aggregation. Tests for aggregation bias and errors of inference are conducted using indices previously tested for consistent aggregation. Failure to reject consistent aggregation in a partition did not entirely mitigate erroneous inference due to aggregation. However, inferential errors due to aggregation were small relative to errors due to incorrect functional form or failure to account for time series properties of data.Research Methods/ Statistical Methods,
Quadratic distances on probabilities: A unified foundation
This work builds a unified framework for the study of quadratic form distance
measures as they are used in assessing the goodness of fit of models. Many
important procedures have this structure, but the theory for these methods is
dispersed and incomplete. Central to the statistical analysis of these
distances is the spectral decomposition of the kernel that generates the
distance. We show how this determines the limiting distribution of natural
goodness-of-fit tests. Additionally, we develop a new notion, the spectral
degrees of freedom of the test, based on this decomposition. The degrees of
freedom are easy to compute and estimate, and can be used as a guide in the
construction of useful procedures in this class.Comment: Published in at http://dx.doi.org/10.1214/009053607000000956 the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Does consistent aggregation really matter?
Consistent aggregation ensures that behavioural properties which apply to disaggregate relationships apply also to aggregate relationships. The agricultural economics literature which has tested for consistent aggregation or measured statistical bias and/or inferential errors due to aggregation is reviewed. Tests for aggregation bias and errors of inference are conducted using indices previously tested for consistent aggregation. Failure to reject consistent aggregation in a partition did not entirely mitigate erroneous inference due to aggregation. However, inferential errors due to aggregation were small relative to errors due to incorrect functional form or failure to account for time series properties of data.Research Methods/ Statistical Methods,
An overview of the goodness-of-fit test problem for copulas
We review the main "omnibus procedures" for goodness-of-fit testing for
copulas: tests based on the empirical copula process, on probability integral
transformations, on Kendall's dependence function, etc, and some corresponding
reductions of dimension techniques. The problems of finding asymptotic
distribution-free test statistics and the calculation of reliable p-values are
discussed. Some particular cases, like convenient tests for time-dependent
copulas, for Archimedean or extreme-value copulas, etc, are dealt with.
Finally, the practical performances of the proposed approaches are briefly
summarized
Minimum scoring rule inference
Proper scoring rules are methods for encouraging honest assessment of
probability distributions. Just like likelihood, a proper scoring rule can be
applied to supply an unbiased estimating equation for any statistical model,
and the theory of such equations can be applied to understand the properties of
the associated estimator. In this paper we develop some basic scoring rule
estimation theory, and explore robustness and interval estimation properties by
means of theory and simulations.Comment: 27 pages, 3 figure
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