[经济学] 多个矩不等式对多重违规的精确检验 [推广有奖]

摘要翻译：
本文考虑了多个矩不等式的检验问题，其中矩不等式的个数($P$)可能大于样本量($N$)。切尔诺朱科夫等人。（2019）利用最大$T$统计量对该问题进行了渐近检验。我们观察到，如果违反了多个不等式，这样的测试可能具有低功率。作为另一种选择，我们提出了新的随机化检验的基础上最大非负加权组合的$T$统计量。我们提供了保证大样品尺寸控制的条件。仿真表明，该测试在小样本($N=30$，$P=1000$)中控制大小，并且通常比基于最大$T$统计量的测试具有更高的抗多冲突替代方案的能力。
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英文标题：
《Exact Testing of Many Moment Inequalities Against Multiple Violations》
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作者：
Nick Koning and Paul Bekker
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最新提交年份：
2020
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分类信息：

一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  This paper considers the problem of testing many moment inequalities, where the number of moment inequalities ($p$) is possibly larger than the sample size ($n$). Chernozhukov et al. (2019) proposed asymptotic tests for this problem using the maximum $t$ statistic. We observe that such tests can have low power if multiple inequalities are violated. As an alternative, we propose novel randomization tests based on a maximum non-negatively weighted combination of $t$ statistics. We provide a condition guaranteeing size control in large samples. Simulations show that the tests control size in small samples ($n = 30$, $p = 1000$), and often has substantially higher power against alternatives with multiple violations than tests based on the maximum $t$ statistic.
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PDF链接：
https://arxiv.org/pdf/1904.12775