Applications of cross-fit variance estimator for testing model specification, overidentification, and structural parameter hypotheses

Material type: 文書・図像類

Author: Matsushita, Yukitoshiほか

Publisher: Keio Economic Observatory Sangyo Kenkyujo

Publication date: 2024-07

Material Format: Digital

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Note (General)：: type:textThis paper advocates that power improvement based on the cross-fit variance estimator, proposed by Mikusheva and Sun (2022), is generally app...

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Material Type: 文書・図像類
Title: Applications of cross-fit variance estimator for testing model specification, overidentification, and structural parameter hypotheses
Author/Editor: Matsushita, Yukitoshi
大津, 泰介
Sunada, Keita
Author Heading: Matsushita, Yukitoshi
大津, 泰介
Sunada, Keita
Publication, Distribution, etc.: Keio Economic Observatory Sangyo Kenkyujo
Publication Date: 2024-07
Publication Date (W3CDTF): 2024-07
Periodical title: KEO discussion paper
No. or year of volume/issue: 181
Volume: 181
Text Language Code: eng
Target Audience: 一般
Note (General): type:text
This paper advocates that power improvement based on the cross-fit variance estimator, proposed by Mikusheva and Sun (2022), is generally applicable to other econometric inference problems, where the statistics of interest are constructed by quadratic forms. We consider consistent specification testing for regression models, overidentifying restriction testing for linear instrumental variable regression models with many weak instruments, and parameter hypothesis testing with many weak instruments, develop the cross-fit variance estimators for those test statistics, and show that the resulting test statistics exhibit improved power properties. Numerical examples illustrate attractive finite sample properties of our cross-fitting approach.
DOI: 10.14991/004.00000181-0001
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 慶應義塾大学 : 慶應義塾大学学術情報リポジトリ