Confidence sets based on inverting Anderson–Rubin tests
نویسندگان
چکیده
منابع مشابه
Confidence Sets Based on Inverting Anderson-Rubin Tests
Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous equations model. One way to obtain a confidence set for this coefficient is to invert the Anderson-Rubin test. The “AR confidence sets” that result have correct coverage under classical assumptions. In this paper, however, we show that AR confidence sets also have many undesir...
متن کاملBootstrap Confidence Intervals Based on Inverting Hypothesis Tests
Most confidence intervals, whether based on asymptotic theory or the bootstrap, are implicitly based on inverting a Wald test. Since Wald test statistics are not invariant under nonlinear reparametrizations of the restrictions they test, confidence intervals based on them are not invariant either. This fact explains the well-known non invariance of bootstrap confidence intervals obtained by Hal...
متن کاملConfidence Region for long memory based on Inverting Bootstrap Tests: an application to Stock Market Indices
In the context of long memory, the finite-sample distorsion of statistic distributions is so large, that bootstrap confidence intervals (percentile and percentile-t) for the long memory parameter do not perform better than the corresponding asymptotic confidence interval. In this paper, we propose confidence intervals based on inverting bootstrap tests proposed by Davidson and MacKinnon [2001] ...
متن کاملBioequivalence Trials, Intersection–Union Tests and Equivalence Confidence Sets
The bioequivalence problem is of practical importance because the approval of most generic drugs in the United States and the European Community (EC) requires the establishment of bioequivalence between the brand-name drug and the proposed generic version. The problem is theoretically interesting because it has been recognized as one for which the desired inference, instead of the usual signifi...
متن کاملConfidence Sets Based on Penalized Maximum Likelihood Estimators
Confidence intervals based on penalized maximum likelihood estimators such as the LASSO, adaptive LASSO, and hard-thresholding are analyzed. In the known-variance case, the finite-sample coverage properties of such intervals are determined and it is shown that symmetric intervals are the shortest. The length of the shortest intervals based on the hard-thresholding estimator is larger than the l...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2014
ISSN: 1368-4221,1368-423X
DOI: 10.1111/ectj.12015