Estimation and inference for moments of ratios with robustness against large trimming bias

DOI10.1017/S0266466621000025zbMATH Open1493.62621arXiv1709.00981OpenAlexW3132679991MaRDI QIDQ5065459FDOQ5065459

Authors: Yuya Sasaki, Takuya Ura 

Publication date: 21 March 2022

Published in: Econometric Theory (Search for Journal in Brave)

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].

Full work available at URL: https://arxiv.org/abs/1709.00981

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited In (1)

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