Uniform asymptotics for robust location estimates when the scale is unknown

Most asymptotic results for robust estimates rely on regularity conditions that are difficult to verify in practice. Moreover, these results apply to fixed distribution functions. In the robustness context the distribution of the data remains largely unspecified and hence results that hold uniformly over a set of possible distribution functions are of theoretical and practical interest. Also, it is desirable to be able to determine the size of the set of distribution functions where the uniform properties hold. In this paper we study the problem of obtaining verifiable regularity conditions that suffice to yield uniform consistency and uniform asymptotic normality for location robust estimates when the scale of the errors is unknown. We study M-location estimates calculated with an S-scale and we obtain uniform asymptotic results over contamination neighborhoods. Moreover, we show how to calculate the maximum size of the contamination neighborhoods where these uniform results hold. There is a trade-off between the size of these neighborhoods and the breakdown point of the scale estimate.Comment: Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Statistics (http://www.imstat.org/aos/) at http://dx.doi.org/10.1214/00905360400000054

Uniform asymptotics for robust location estimates when the scale is unknown

Most asymptotic results for robust estimates rely on regularity conditions that are difficult to verify and that real data sets rarely satisfy. Moreover, these results apply to fixed distribution functions. In the robustness context the distribution of the data remains largely unspecified and hence results that hold uniformly over a set of possible distribution functions are of theoretical and practical interest. In this paper we study the problem of obtaining verifiable and realistic conditions that suffice to obtain uniform consistency and uniform asymptotic normality for location robust estimates when the scale of the errors is unknown. We study M-location estimates calculated withan S-scale and we obtain uniform asymptotic results over contamination neighbourhoods. There is a trade-off between the size of these neighbourhoods and the breakdown point of the scale estimate. We also show how to calculate the maximum size of the contamination neighbourhoods where these uniform results hold.

Optimal Bandwidth Choice for Robust Bias Corrected Inference in Regression Discontinuity Designs

Modern empirical work in Regression Discontinuity (RD) designs often employs local polynomial estimation and inference with a mean square error (MSE) optimal bandwidth choice. This bandwidth yields an MSE-optimal RD treatment effect estimator, but is by construction invalid for inference. Robust bias corrected (RBC) inference methods are valid when using the MSE-optimal bandwidth, but we show they yield suboptimal confidence intervals in terms of coverage error. We establish valid coverage error expansions for RBC confidence interval estimators and use these results to propose new inference-optimal bandwidth choices for forming these intervals. We find that the standard MSE-optimal bandwidth for the RD point estimator is too large when the goal is to construct RBC confidence intervals with the smallest coverage error. We further optimize the constant terms behind the coverage error to derive new optimal choices for the auxiliary bandwidth required for RBC inference. Our expansions also establish that RBC inference yields higher-order refinements (relative to traditional undersmoothing) in the context of RD designs. Our main results cover sharp and sharp kink RD designs under conditional heteroskedasticity, and we discuss extensions to fuzzy and other RD designs, clustered sampling, and pre-intervention covariates adjustments. The theoretical findings are illustrated with a Monte Carlo experiment and an empirical application, and the main methodological results are available in \texttt{R} and \texttt{Stata} packages

On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference

Nonparametric methods play a central role in modern empirical work. While they provide inference procedures that are more robust to parametric misspecification bias, they may be quite sensitive to tuning parameter choices. We study the effects of bias correction on confidence interval coverage in the context of kernel density and local polynomial regression estimation, and prove that bias correction can be preferred to undersmoothing for minimizing coverage error and increasing robustness to tuning parameter choice. This is achieved using a novel, yet simple, Studentization, which leads to a new way of constructing kernel-based bias-corrected confidence intervals. In addition, for practical cases, we derive coverage error optimal bandwidths and discuss easy-to-implement bandwidth selectors. For interior points, we show that the MSE-optimal bandwidth for the original point estimator (before bias correction) delivers the fastest coverage error decay rate after bias correction when second-order (equivalent) kernels are employed, but is otherwise suboptimal because it is too "large". Finally, for odd-degree local polynomial regression, we show that, as with point estimation, coverage error adapts to boundary points automatically when appropriate Studentization is used; however, the MSE-optimal bandwidth for the original point estimator is suboptimal. All the results are established using valid Edgeworth expansions and illustrated with simulated data. Our findings have important consequences for empirical work as they indicate that bias-corrected confidence intervals, coupled with appropriate standard errors, have smaller coverage error and are less sensitive to tuning parameter choices in practically relevant cases where additional smoothness is available

Regression Discontinuity Designs Using Covariates

We study regression discontinuity designs when covariates are included in the estimation. We examine local polynomial estimators that include discrete or continuous covariates in an additive separable way, but without imposing any parametric restrictions on the underlying population regression functions. We recommend a covariate-adjustment approach that retains consistency under intuitive conditions, and characterize the potential for estimation and inference improvements. We also present new covariate-adjusted mean squared error expansions and robust bias-corrected inference procedures, with heteroskedasticity-consistent and cluster-robust standard errors. An empirical illustration and an extensive simulation study is presented. All methods are implemented in \texttt{R} and \texttt{Stata} software packages

CMB Polarization Experiments

We discuss the analysis of polarization experiments with particular emphasis on those that measure the Stokes parameters on a ring on the sky. We discuss the ability of these experiments to separate the $E$ and $B$ contributions to the polarization signal. The experiment being developed at Wisconsin university is studied in detail, it will be sensitive to both Stokes parameters and will concentrate on large scale polarization, scanning a $47^o$ degree ring. We will also consider another example, an experiment that measures one of the Stokes parameters in a $1^o$ ring. We find that the small ring experiment will be able to detect cosmological polarization for some models consistent with the current temperature anisotropy data, for reasonable integration times. In most cosmological models large scale polarization is too small to be detected by the Wisconsin experiment, but because both $Q$ and $U$ are measured, separate constraints can be set on $E$ and $B$ polarization.Comment: 27 pages with 12 included figure

Binscatter Regressions

We introduce the \texttt{Stata} (and \texttt{R}) package \textsf{Binsreg}, which implements the binscatter methods developed in \citet*{Cattaneo-Crump-Farrell-Feng_2019_Binscatter}. The package includes the commands \texttt{binsreg}, \texttt{binsregtest}, and \texttt{binsregselect}. The first command (\texttt{binsreg}) implements binscatter for the regression function and its derivatives, offering several point estimation, confidence intervals and confidence bands procedures, with particular focus on constructing binned scatter plots. The second command (\texttt{binsregtest}) implements hypothesis testing procedures for parametric specification and for nonparametric shape restrictions of the unknown regression function. Finally, the third command (\texttt{binsregselect}) implements data-driven number of bins selectors for binscatter implementation using either quantile-spaced or evenly-spaced binning/partitioning. All the commands allow for covariate adjustment, smoothness restrictions, weighting and clustering, among other features. A companion \texttt{R} package with the same capabilities is also available

Combining Full-Shape and BAO Analyses of Galaxy Power Spectra: A 1.6% CMB-independent constraint on H0

We present cosmological constraints from a joint analysis of the pre- and post-reconstruction galaxy power spectrum multipoles from the final data release of the Baryon Oscillation Spectroscopic Survey (BOSS). Geometric constraints are obtained from the positions of BAO peaks in reconstructed spectra, analyzed in combination with the unreconstructed spectra in a full-shape (FS) likelihood using a joint covariance matrix, giving stronger parameter constraints than FS-only or BAO-only analyses. We introduce a new method for obtaining constraints from reconstructed spectra based on a correlated theoretical error, which is shown to be simple, robust, and applicable to any flavor of density-field reconstruction. Assuming $\Lambda$CDM with massive neutrinos, we analyze data from two redshift bins $z_\mathrm{eff}=0.38,0.61$ and obtain $1.6\%$ constraints on the Hubble constant $H_0$, using only a single prior on the current baryon density $\omega_b$ from Big Bang Nucleosynthesis (BBN) and no knowledge of the power spectrum slope $n_s$. This gives $H_0 = 68.6\pm1.1\,\mathrm{km\,s}^{-1}\mathrm{Mpc}^{-1}$, with the inclusion of BAO data sharpening the measurement by $40\%$, representing one of the strongest current constraints on $H_0$ independent of cosmic microwave background data. Restricting to the best-fit slope $n_s$ from Planck (but without additional priors on the spectral shape), we obtain a $1\%$ $H_0$ measurement of $67.8\pm 0.7\,\mathrm{km\,s}^{-1}\mathrm{Mpc}^{-1}$. We find strong constraints on the cosmological parameters from a joint analysis of the FS, BAO, and Planck data. This sets new bounds on the sum of neutrino masses $\sum m_\nu < 0.14\,\mathrm{eV}$ (at $95\%$ confidence) and the effective number of relativistic degrees of freedom $N_\mathrm{eff} = 2.90^{+0.15}_{-0.16}$, though contours are not appreciably narrowed by the inclusion of BAO data.Comment: 42 pages, 12 figures, accepted by JCAP, likelihoods available at https://github.com/Michalychforever/lss_montepython (minor typo corrected