Estimation and inference for moments of ratios with robustness against large trimming bias
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Publication:5065459
Abstract: Empirical researchers often trim observations with small denominator A when they estimate moments of the form E[B/A]. Large trimming is a common practice to mitigate variance, but it incurs large trimming bias. This paper provides a novel method of correcting large trimming bias. If a researcher is willing to assume that the joint distribution between A and B is smooth, then a large trimming bias may be estimated well. With the bias correction, we also develop a valid and robust inference result for E[B/A].
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