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Subvector inference when the true parameter vector may be near or at the boundary
TLDR
In this article, the authors proposed a new estimator that is asymptotically normally distributed even when the true parameter vector is near or at the boundary and the objective function is not defined outside the parameter space.Abstract:
Extremum estimators are not asymptotically normally distributed when the estimator satisfies the restrictions on the parameter space—such as the non-negativity of a variance parameter—and the true parameter vector is near or at the boundary. This possible lack of asymptotic normality makes it difficult to construct tests for testing subvector hypotheses that control asymptotic size in a uniform sense and have good local asymptotic power irrespective of whether the true parameter vector is at, near, or far from the boundary. We propose a novel estimator that is asymptotically normally distributed even when the true parameter vector is near or at the boundary and the objective function is not defined outside the parameter space. The proposed estimator allows the implementation of a new test based on the Conditional Likelihood Ratio statistic that is easy-to-implement, controls asymptotic size, and has good local asymptotic power properties. Furthermore, we show that the test enjoys certain asymptotic optimality properties when the parameter of interest is scalar. In an application of the random coefficients logit model (Berry, Levinsohn, and Pakes, 1995) to the European car market, we find that, for most parameters, the new test leads to tighter confidence intervals than the two-sided t-test commonly used in practice.read more
Citations
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Applications of Subsampling, Hybrid, and Size-Correction Methods (joint with D.W.K. Andrews), 2005, this version May 2007
TL;DR: In this paper, the authors analyzed the properties of subsampling, hybrid sampling, and size-correction methods in two non-regular models and showed that the hybrid sampling procedure can be size-corrected using partially-studentized t statistics.
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Wald, QLR, and score tests when parameters are subject to linear inequality constraints
Yanqin Fan,Xuetao Shi +1 more
TL;DR: In this article , the Fourier-Motzkinetic analysis of the null distributions of the Wald-type, QLR, and score-type tests for linear equality constraints in extremum estimation problems is presented.
A Generalized Argmax Theorem with Applications
TL;DR: In this article , the authors generalized the argmax theorem to allow the maximization to take place over a sequence of subsets of the domain, and demonstrated the usefulness of this generalization in three applications: estimating a structural break, estimating a parameter on the boundary of the parameter space, and estimating a weakly identified parameter.
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Specification tests for GARCH processes with nuisance parameters on the boundary
TL;DR: In this paper , the authors proposed a test for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space, and the test statistics considered are of Kolmogorov-Smirnov and Cramer-von Mises type.
Allowing for weak identification when testing GARCH-X type models
TL;DR: In this paper , the authors used the results in Andrews and Cheng (2012), extended to allow for parameters to be near or at the boundary of the parameter space, to derive the asymptotic distributions of the two test statistics that are used in the two-step procedure proposed by Pedersen and Rahbek (2019).
References
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Book
Testing statistical hypotheses
TL;DR: The general decision problem, the Probability Background, Uniformly Most Powerful Tests, Unbiasedness, Theory and First Applications, and UNbiasedness: Applications to Normal Distributions, Invariance, Linear Hypotheses as discussed by the authors.
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Automobile prices in market equilibrium
TL;DR: In this article, the authors developed techniques for empirically analyzing demand and supply in differentiated products markets and then applied these techniques to analyze equilibrium in the U.S. automobile industry.
Book ChapterDOI
Chapter 36 Large sample estimation and hypothesis testing
Whitney K. Newey,Daniel McFadden +1 more
TL;DR: In this paper, conditions for obtaining cosistency and asymptotic normality of a very general class of estimators (extremum estimators) are given to enable approximation of the SDF.
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Measuring Market Power in the Ready-to-Eat Cereal Industry
TL;DR: The authors empirically examined the ready-to-eat cereal industry and concluded that the prices in the industry are consistent with noncollusive pricing behavior, despite the high price-cost margins.
Journal ArticleDOI
Simulation and the asymptotics of optimization estimators
Ariel Pakes,David Pollard +1 more
TL;DR: The authors demontre un theoreme de limite centrale general for des estimateurs definis par minimisation de la longueur d'une fonction de critere aleatoire a valeurs vectorielles.