摘要翻译:
近年来,非标准分布近似得到了广泛的关注。它们通常在小样本中提供更精确的近似,在某些情况下提供理论上的改进。本文证明了看似无关的“多仪器渐近”和“小带宽渐近”有一个共同的结构,即确定极限分布的对象是一个V-统计量,其余项是一个渐近正态退化U-统计量。当级数近似中的项数可能与样本量一样快增长时,我们通过获得部分线性模型的级数估计量的一个新的渐近分布(我们称之为“多项渐近”)来说明如何利用这种一般结构来导出新的结果。
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英文标题:
《Alternative Asymptotics and the Partially Linear Model with Many
Regressors》
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作者:
Matias D. Cattaneo, Michael Jansson and Whitney K. Newey
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最新提交年份:
2015
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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:
Non-standard distributional approximations have received considerable attention in recent years. They often provide more accurate approximations in small samples, and theoretical improvements in some cases. This paper shows that the seemingly unrelated "many instruments asymptotics" and "small bandwidth asymptotics" share a common structure, where the object determining the limiting distribution is a V-statistic with a remainder that is an asymptotically normal degenerate U-statistic. We illustrate how this general structure can be used to derive new results by obtaining a new asymptotic distribution of a series estimator of the partially linear model when the number of terms in the series approximation possibly grows as fast as the sample size, which we call "many terms asymptotics".
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PDF链接:
https://arxiv.org/pdf/1505.08120