Conditional inference with a functional nuisance parameter

DOI10.3982/ECTA12868MaRDI QIDQ4613432zbMATH OpenFDO

Authors Isaiah Andrews, Anna Mikusheva

Publication date 31 January 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.6337

zbMATH Keywords

conditional inferencefunctional nuisance parametersimilar testsufficient statisticweak identification

Mathematics Subject Classification ID

Sufficient statistics and fields (62B05) Nonparametric regression and quantile regression (62G08)

Abstract: This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an infinite-dimensional nuisance parameter. We introduce a sufficient statistic for this nuisance parameter and propose conditional tests. These conditional tests have uniformly correct asymptotic size for a large class of models and test statistics. We apply our approach to construct tests based on quasi-likelihood ratio statistics, which we show are efficient in strongly identified models and perform well relative to existing alternatives in two examples.

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Cited in

(28)

• Estimating functions for conditional inference: many nuisance parameter case
• Inference when a nuisance parameter is weakly identified under the null hypothesis
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• Generic results for establishing the asymptotic size of confidence sets and tests
• Inference of local regression in the presence of nuisance parameters
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• Identification in a generalization of bivariate probit models with dummy endogenous regressors
• Bounds for inference with nuisance parameters present only under the alternative
• Conditional linear combination tests for weakly identified models
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• Identification- and singularity-robust inference for moment condition models
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Stochastically weighted average conditional moment tests of functional form
• ESTIMATION OF (STATIC OR DYNAMIC) GAMES UNDER EQUILIBRIUM MULTIPLICITY
• A conditional linear combination test with many weak instruments
• Identification-robust nonparametric inference in a linear IV model
• Detecting identification failure in moment condition models
• Wild bootstrap inference for instrumental variables regressions with weak and few clusters
• Smoothing Quantile Regressions
• Weak identification with bounds in a class of minimum distance models
• Bias correction for quantile regression estimators
• Sensitivity analysis and power in the presence of many weak instruments: application to the effect of incarceration on future earnings
• A first-stage representation for instrumental variables quantile regression
• Double robust inference for continuous updating GMM
• Identifying the volatility risk price through the leverage effect
• Robust IV inference with clustering dependence
• Identification-robust inference for the LATE with high-dimensional covariates

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