Inference on directionally differentiable functions

DOI10.1093/RESTUD/RDY049MaRDI QIDQ4627475zbMATH OpenOpenAlexWikidataFDO

Authors Zheng Fang, Andres Santos

Publication date 11 March 2019

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.3763

zbMATH Keywords

bootstrap consistencydelta methoddirectional differentiabilityresidual wage inequalityshape restrictions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20)

Abstract: This paper studies an asymptotic framework for conducting inference on parameters of the form $phi(het{a}_0)$, where $phi$ is a known directionally differentiable function and $het{a}_0$ is estimated by $hathet{a}_n$. In these settings, the asymptotic distribution of the plug-in estimator $phi(hathet{a}_n)$ can be readily derived employing existing extensions to the Delta method. We show, however, that the "standard" bootstrap is only consistent under overly stringent conditions -- in particular we establish that differentiability of $phi$ is a necessary and sufficient condition for bootstrap consistency whenever the limiting distribution of $hathet{a}_n$ is Gaussian. An alternative resampling scheme is proposed which remains consistent when the bootstrap fails, and is shown to provide local size control under restrictions on the directional derivative of $phi$. We illustrate the utility of our results by developing a test of whether a Hilbert space valued parameter belongs to a convex set -- a setting that includes moment inequality problems and certain tests of shape restrictions as special cases.

Recommendations

• Inference for subvectors and other functions of partially identified parameters in moment inequality models
• Inference on functionals under first order degeneracy
• The numerical delta method
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• Directionally differentiable econometric models

Cited in

(65)

• One-sided inference about functionals of a density
• Portfolio optimization based on stochastic dominance and empirical likelihood
• The numerical delta method
• Testing against uniform stochastic ordering with paired observations
• Inference on functionals under first order degeneracy
• Applied welfare analysis for discrete choice with interval-data on income
• Refinements of the Kiefer-Wolfowitz theorem and a test of concavity
• Bounds on distributional treatment effect parameters using panel data with an application on job displacement
• Inference on estimators defined by mathematical programming
• Directional differentiability for supremum-type functionals: statistical applications
• The numerical bootstrap
• Posterior distribution of nondifferentiable functions
• Frequentist properties of Bayesian inequality tests
• More powerful goodness-of-fit tests for uniform stochastic ordering
• Statistical inference for average treatment effects estimated by synthetic control methods
• A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS
• Instrument validity for heterogeneous causal effects
• Test of dominance relations based on kernel smoothing method
• Testing for time stochastic dominance
• Uniform inference for value functions
• Comparing regression curves: an L^1-point of view
• Testing equivalence of multinomial distributions -- a constrained bootstrap approach
• Synthetic learner: model-free inference on treatments over time
• Central limit theorems for semi-discrete Wasserstein distances
• Assessing Sensitivity to Unconfoundedness: Estimation and Inference
• Counterfactual sensitivity and robustness
• Inference for large-scale linear systems with known coefficients
• A uniform kernel trick for high and infinite-dimensional two-sample problems
• Testing for practically significant dependencies in high dimensions via bootstrapping maxima of U-statistics
• Nonparametric inference for NBUE distributions based on the TTT transform
• A unifying approach to distributional limits for empirical optimal transport
• Limit distribution theory for smooth \(p\)-Wasserstein distances
• Finite sample smeariness of Fréchet means with application to climate
• Robust inference for moment condition models without rational expectations
• Statistical inference for generative adversarial networks and other minimax problems
• Improved Nonparametric Bootstrap Tests of Lorenz Dominance
• Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
• Tie-Break Bootstrap for Nonparametric Rank Statistics
• Correcting for Endogeneity in Models with Bunching
• Fast grid search and bootstrap-based inference for continuous two-phase polynomial regression models
• A Negative Correlation Strategy for Bracketing in Difference-in-Differences
• Empirical optimal transport under estimated costs: distributional limits and statistical applications
• Statistical inference with regularized optimal transport
• A nonparametric test of mth-degree inverse stochastic dominance
• Almost dominance: inference and application
• Conditional delta-method for resampling empirical processes in multiple sample problems
• Robustness to missing data: breakdown point analysis
• Semiparametric tests for Lorenz dominance based on density ratio model
• Loss aversion and the welfare ranking of policy interventions
• Bootstrap tests for almost goodness-of-fit
• Testing in GARCH-X models: boundary, correlations and bootstrap theory
• k-sample inference via multimarginal optimal transport
• Tests for Almost Stochastic Dominance
• Learn then test: calibrating predictive algorithms to achieve risk control
• Estimation of counterfactual distributions with a continuous endogenous treatment
• Decomposing duration dependence in a stopping time model
• Testing for Equivalence of Pre-Trends in Difference-in-Differences Estimation
• Nonparametric Identification and Inference of First-Price Auctions with Heterogeneous Bidders
• The proximal bootstrap for constrained estimators
• Stability and statistical inference for semidiscrete optimal transport maps
• Statistical inference of optimal allocations. I: Regularities and their implications
• The functional delta method for deriving asymptotic distributions
• Testing for sufficient follow-up in cure models with categorical covariates
• Testing equivalence for three-arm trials with multinomial outcomes
• Estimation and inference for the Wasserstein distance between mixing measures in topic models

This page was built for publication: Inference on directionally differentiable functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4627475)