一个与高维的共变量进行的异种性-强大的过度识别限制测试
Qingliang Fan1, Zijian Guo2, Ziwei Mei1
1Department of Economics, The Chinese University of Hong Kong.
概括
本研究引入了一项新的过度识别限制测试,用于高维仪表变量模型,即使数据超过样本大小. 这种新型测试为复杂的经济分析提供了更强大的功率和稳定性.
科学领域:
- 计量经济学 计量经济学
- 统计 统计 统计 统计
背景情况:
- 高维仪表变量 (IV) 模型对于计量经济学中的因果推理至关重要.
- 当前的过度识别限制测试通常在共变量和仪器数量超过样本大小时失败.
研究的目的:
- 为高维线性IV模型提出一种新的过度识别限制测试.
- 开发一种能够容纳比样本大小更多的共变量和仪器的测试.
- 在具有挑战性的数据场景中增强现有测试的性能和稳定性.
主要方法:
- 拟议的测试使用高维参数的最大规范方法.
- 引入了一种增强功率的版本,它包含了一个不对称的零组件.
- 该测试的设计是规模不变的,并且对异种类型的错误具有稳定性.
主要成果:
- 最大规范测试显示出比修改后的Cragg-Donald测试对大维共变量的理论功率更高.
- 增强功率的测试提高了极端替代品的检测,特别是许多局部无效仪器.
- 该测试的实际实用性通过贸易和经济增长的实证例子来验证.
结论:
- 开发的过度识别限制测试对于高维IV模型是有效的.
- 测试提供了一个有价值的工具,用于因果推理在计量经济学大数据集.
- 这些发现有助于在复杂的经济建模中进行可靠的统计推断.
相关概念视频
Friedman Two-way Analysis of Variance by Ranks
483
Friedman's Two-Way Analysis of Variance by Ranks is a nonparametric test designed to identify differences across multiple test attempts when traditional assumptions of normality and equal variances do not apply. Unlike conventional ANOVA, which requires normally distributed data with equal variances, Friedman's test is ideal for ordinal or non-normally distributed data, making it particularly useful for analyzing dependent samples, such as matched subjects over time or repeated measures...
483
Hypothesis Test for Test of Independence
7.4K
The test of independence is a chi-square-based test used to determine whether two variables or factors are independent or dependent. This hypothesis test is used to examine the independence of the variables. One can construct two qualitative survey questions or experiments based on the variables in a contingency table. The goal is to see if the two variables are unrelated (independent) or related (dependent). The null and alternative hypotheses for this test are:
H0: The two variables (factors)...
H0: The two variables (factors)...
7.4K
Test for Homogeneity
2.4K
The goodness–of–fit test can be used to decide whether a population fits a given distribution, but it will not suffice to decide whether two populations follow the same unknown distribution. A different test, called the test for homogeneity, can be used to conclude whether two populations have the same distribution. To calculate the test statistic for a test for homogeneity, follow the same procedure as with the test of independence. The hypotheses for the test for homogeneity can...
2.4K
Statistical Hypothesis Testing
6.1K
Hypothesis testing is a critical statistical procedure facilitating informed, evidence-based decisions. It begins with a hypothesis, which is a tentative explanation, or a prediction about a population parameter. This hypothesis can be either a null hypothesis (H0), indicating no effect or difference, or an alternative hypothesis (Ha), suggesting an effect or difference.
Statistical significance measures the probability that an observed result occurred by chance. If this probability, known as...
Statistical significance measures the probability that an observed result occurred by chance. If this probability, known as...
6.1K
Goodness-of-Fit Test
8.1K
The goodness-of-fit test is a type of hypothesis test which determines whether the data "fits" a particular distribution. For example, one may suspect that some anonymous data may fit a binomial distribution. A chi-square test (meaning the distribution for the hypothesis test is chi-square) can be used to determine if there is a fit. The null and alternative hypotheses may be written in sentences or stated as equations or inequalities. The test statistic for a goodness-of-fit test is given as...
8.1K
Quantifying and Rejecting Outliers: The Grubbs Test
3.6K
Sometimes, a data set can have a recorded numerical observation that greatly deviates from the rest of the data. Assuming that the data is normally distributed, a statistical method called the Grubbs test can be used to determine whether the observation is truly an outlier. To perform a two-tailed Grubbs test, first, calculate the absolute difference between the outlier and the mean. Then, calculate the ratio between this difference and the standard deviation of the sample. This...
3.6K


