Fetching the paper…

Reading the bibliography…

2015

Optimal inference in a class of regression models

Armstrong, Timothy B., Kolesár, Michal

Original
PDF
Post on X

Understand

We consider the problem of constructing confidence intervals (CIs) for a linear functional of a regression function, such as its value at a point, the regression discontinuity parameter, or a regression coefficient in a linear or partly linear regression.

Our main assumption is that the regression function is known to lie in a convex function class, which covers most smoothness and/or shape assumptions used in econometrics.
We derive finite-sample optimal CIs and sharp efficiency bounds under normal errors with known variance.
We show that these results translate to uniform (over the function class) asymptotic results when the error distribution is not known.

Optimal inference in a class of regression models · Around

Built on

Hall, P. and J. Horowitz
1921
Earlier work this paper cites.
Pratt, J. W
1961
Earlier work this paper cites.
von Bahr, B. and C.-G. Esseen
1965
Earlier work this paper cites.
Sacks, J. and D. Ylvisaker
1978
Earlier work this paper cites.
Sacks, J. and D. Ylvisaker
1978
Earlier work this paper cites.
Stone, C. J
1980
Earlier work this paper cites.
Ibragimov, I. A. and R. Z. Khas’minskii
1985
Earlier work this paper cites.
Cohen, J
1988
Earlier work this paper cites.
Donoho, D. L. and R. C. Liu
1991
Earlier work this paper cites.
Donoho, D. L. and M. G. Low
1992
Earlier work this paper cites.
Donoho, D. L. and M. G. Low
1992
Earlier work this paper cites.
Donoho, D. L
1994
Earlier work this paper cites.
Donoho, D. L
1994
Earlier work this paper cites.
Brown, L. D. and M. G. Low
1996
Earlier work this paper cites.
Durrett, R
1996
Earlier work this paper cites.

Similar

Nussbaum, M
1996
Cited alongside, same era.
Cheng, M.-Y., J. Fan, and J. S. Marron
1997
Cited alongside, same era.
Low, M. G
1997
Cited alongside, same era.
Cheng, M.-Y., J. Fan, and J. S. Marron
1997
Cited alongside, same era.
Brown, L. D. and C.-H. Zhang
1998
Cited alongside, same era.
van der Vaart, A. W
1998
Cited alongside, same era.
Drees, H
1999
Cited alongside, same era.
Ingster, Y. I. and I. A. Suslina
2003

Then

Andrews, D. W. K. and P. Guggenberger
2009
Later among the works it cites.
Giné, E. and R. Nickl
2010
Later among the works it cites.
Imbens, G. W. and K. Kalyanaraman
2012
Later among the works it cites.
Imbens, G. W. and K. Kalyanaraman
2012
Later among the works it cites.
Cai, T. T., M. G. Low, and Y. Xia
2013
Later among the works it cites.
Chernozhukov, V., S. Lee, and A. M. Rosen
2013
Later among the works it cites.
Belloni, A., V. Chernozhukov, and C. Hansen
2014
Later among the works it cites.

Beyond the bibliography

alphaXiv searches the wider corpus for related work and actual follow-ups.

Open on alphaXiv

alphaXiv is searching for related work…

Cited alongside, same era.

Lehmann, E. L. and J. P. Romano

2005

Cited alongside, same era.

Stock, J. and M. Yogo

2005

Cited alongside, same era.

Abadie, A. and G. W. Imbens

2006

Cited alongside, same era.

Lee, D. S

2008

Cited alongside, same era.

Cai, T. T., M. G. Low, and Z. Ma

2014

Later among the works it cites.

Calonico, S., M. D. Cattaneo, and R. Titiunik

2014

Later among the works it cites.

Chernozhukov, V., D. Chetverikov, and K. Kato

2014

Later among the works it cites.

Calonico, S., M. D. Cattaneo, and R. Titiunik

2014

Later among the works it cites.

Calonico, S., M. D. Cattaneo, M. H. Farrell, and R. Titiunik

2017

Closest in time.

McCloskey, A

2017

Closest in time.

Armstrong, T. B

2086

Closest in time.