Robust explicit estimators of Weibull parameters

The Weibull distribution plays a central role in modeling duration data. Its maximum likelihood estimator is very sensitive to outliers. We propose three robust and explicit Weibull parameter estimators: the quantile least squares, the repeated median and the median/Q _n estimator. We derive their breakdown point, influence function, asymptotic variance and study their finite sample properties in a Monte Carlo study. The methods are illustrated on real lifetime data affected by a recording error.     

Estimating features of a distribution from binomial data

We propose estimators of features of the distribution of an unobserved random variable W. What is observed is a sample of Y,V,X where a binary Y equals one when W exceeds a threshold V determined by experimental design, and X are covariates. Potential applications include bioassay and destructive duration analysis. Our empirical application is referendum contingent valuation in resource economics, where one is interested in features of the distribution of values W (willingness to pay) placed by consumers on a public good such as endangered species. Sample consumers with characteristics X are asked whether they favor (with Y=1 if yes and zero otherwise) a referendum that would provide the good at a cost V specified by experimental design. This paper provides estimators for quantiles and conditional on X moments of W under both nonparametric and semiparametric specifications.     

Measuring correlations of integrated but not cointegrated variables: A semiparametric approach

Many macroeconomic and financial variables are integrated of order one (or I(1)) processes and are correlated with each other but not necessarily cointegrated. In this paper, we propose to use a semiparametric varying coefficient approach to model/capture such correlations. We propose two consistent estimators to study the dependence relationship among some integrated but not cointegrated time series variables. Simulations are used to examine the finite sample performances of the proposed estimators.     

Heteroskedasticity-robust semi-parametric GMM estimation of a spatial model with space-varying coefficients

Heteroskedasticity-robust semi-parametric GMM estimation of a spatial model with space-varying coefficients. Spatial Economic Analysis. The spatial model with space-varying coefficients proposed by Sun et al. in 2014 has proved to be useful in detecting the location effects of the impacts of covariates as well as spatial interaction in empirical analysis. However, Sun et al.’s estimator is inconsistent when heteroskedasticity is present – a circumstance that is more realistic in certain applications. In this study, we propose a kind of semi-parametric generalized method of moments (GMM) estimator that is not only heteroskedasticity robust but also takes a closed form written explicitly in terms of observed data. We derive the asymptotic distributions of our estimators. Moreover, the results of Monte Carlo experiments show that the proposed estimators perform well in finite samples.     

Some properties of the LIML estimator in a dynamic panel structural equation

We investigate the finite sample and asymptotic properties of the within-groups (WG), the random-effects quasi-maximum likelihood (RQML), the generalized method of moment (GMM) and the limited information maximum likelihood (LIML) estimators for a panel autoregressive structural equation model with random effects when both T (time-dimension) and N (cross-section dimension) are large. When we use the forward-filtering due to Alvarez and Arellano (2003), the WG, the RQML and GMM estimators are significantly biased when both T and N are large while T/N is different from zero. The LIML estimator gives desirable asymptotic properties when T/N converges to a constant.     

Information Matrices for Non Full Rank Subsystems

Consider the standard linear model Y=X θ + ε. If the parameter of interest is a full rank subsystem K′θ of mean parameters, the associated information matrix can be defined via an extremal representation. For rank deficient subsystems, Pukelsheim (1993) introduced the notion of generalized information matrices that inherit many properties of the information matrices. However, this notion is not a direct extension of the full rank case in the sense that the definition of the generalized information matrix applied to full rank subsystems does not lead to the usual information matrix. In this paper, we propose a definition of the information matrix via an extremal representation that encompasses the full rank and the non-full rank cases. We also study its properties and show its links with the generalized information matrices.     

Nonparametric estimation of conditional distribution functions with longitudinal data and time-varying parametric models

Nonparametric estimation and inferences of conditional distribution functions with longitudinal data have important applications in biomedical studies. We propose in this paper an estimation approach based on time-varying parametric models. Our model assumes that the conditional distribution of the outcome variable at each given time point can be approximated by a parametric model, but the parameters are smooth functions of time. Our estimation is based on a two-step smoothing method, in which we first obtain the raw estimators of the conditional distribution functions at a set of disjoint time points, and then compute the final estimators at any time by smoothing the raw estimators. Asymptotic properties, including the asymptotic biases, variances and mean squared errors, are derived for the local polynomial smoothed estimators. Applicability of our two-step estimation method is demonstrated through a large epidemiological study of childhood growth and blood pressure. Finite sample properties of our procedures are investigated through simulation study.     

Probabilistic characterization of directional distances and their robust versions

In this work, we analyze the performance of production units using the directional distance function which allows to measure the distance to the frontier of the production set along any direction in the inputs/outputs space. We show that this distance can be expressed as a simple transformation of radial or hyperbolic distance. This formulation allows to define robust directional distances in the lines of α-quantile or order-m partial frontiers and also conditional directional distance functions, conditional to environmental factors. We propose simple methods of estimation and derive the asymptotic properties of our estimators.     

Estimation of location of discontinuity in a density

Here we propose a few estimators of θ, in addition to those studied in Goria (1978), the point of discontinuity of the probability density $$f(x,\theta ) = \frac{1}{{2\Gamma (\alpha )}}e^{ - |x - \theta |} |x - \theta |^{\alpha - 1} ,$$ for $$0< \alpha< 1, - \infty< x< \infty , - \infty< \theta< \infty .$$ We establish the consistency and the optimality of the Bayes and the maximum probability estimators. Despite their nice properties, these estimators are not easy to compute in this case and their effective computation depends on the knowledge of the exponent α. Hence, we propose another class of estimators, dependent upon the spacings of the observations, computable without actual knowledge of the value of α as long as it is known that α < α₀ < 1: we show that these estimators converge at the best possible rate. We further demonstrate, using a modified version of the maximum probability estimator's technique, that the tails of the density do not substantially effect their efficiency. Finally a bivariate family of densities, having a ridge dependent on the parameter θ, is considered and it is shown that this family exhibits features similar to the univariate case, and thus, the necessary modifications of the arguments of the univariate case are utilized for the estimation of θ in this bivariate example.     

Consistent likelihood-based estimation of a star-shaped distribution

We consider the classical problem of nonparametrically estimating a star-shaped distribution, i.e., a distribution function F on [0,∞) with the property that F(u)/u is nondecreasing on the set {u : F(u) < 1}. This problem is intriguing because of the fact that a well defined maximum likelihood estimator (MLE) exists, but this MLE is inconsistent. In this paper, we argue that the likelihood that is commonly used in this context is somewhat unnatural and propose another, so called ‘smoothed likelihood’. However, also the resulting MLE turns out to be inconsistent. We show that more serious smoothing of the likelihood yields consistent estimators in this model.     

Efficient estimation and inference in linear pseudo-panel data models

We consider pseudo-panel data models constructed from repeated cross sections in which the number of individuals per group is large relative to the number of groups and time periods. First, we show that, when time-invariant group fixed effects are neglected, the OLS estimator does not converge in probability to a constant but rather to a random variable. Second, we show that, while the fixed-effects (FE) estimator is consistent, the usual t statistic is not asymptotically normally distributed, and we propose a new robust t statistic whose asymptotic distribution is standard normal. Third, we propose efficient GMM estimators using the orthogonality conditions implied by grouping and we provide t tests that are valid even in the presence of time-invariant group effects. Our Monte Carlo results show that the proposed GMM estimator is more precise than the FE estimator and that our new t test has good size and is powerful.     

Breakdown concepts for contingency tables

Loglinear Poisson models are commonly used to analyse contingency tables. So far, robustness of parameter estimators as well as outlier detection have rarely been treated in this context. We start with finite-sample breakdown points. We yield that the breakdown point of mean value estimators determines a lower bound for a masking breakdown point of a class of one-step outlier identification rules. Within a more refined breakdown approach, which takes account of the structure of the contingency table, a stochastic breakdown function is defined. It returns the probability that a given proportion of outliers is randomly placed at such a pattern, where breakdown is possible. Finally, the introduced breakdown concepts are applied to characterise the maximum likelihood estimator and a median-polish estimator.     

Second order longitudinal dynamic models with covariates: estimation and forecasting

In this paper, we propose an extension to the first-order branching process with immigration in the presence of fixed covariates and unobservable random effects. The extension permits the possibility that individuals from the second generation of the process may contribute to the total number of offsprings at time \(t\) by producing offsprings of their own. We will study the basic properties of the second order process and discuss a generalized quasilikelihood (GQL) estimation of the mean and variance parameters and the generalized method of moments estimation of the correlation parameters. We will discuss the asymptotic distribution of the GQL estimator by first deriving the influence curve of the estimator. For the fixed effects model we shall derive a forecasting function and the variance of the forecast error. The performance of the proposed estimators and forecasts will be examined through a simulation study.     

A new class of asymptotically efficient estimators for moment condition models

In this paper, we propose a new class of asymptotically efficient estimators for moment condition models. These estimators share the same higher order bias properties as the generalized empirical likelihood estimators and once bias corrected, have the same higher order efficiency properties as the bias corrected generalized empirical likelihood estimators. Unlike the generalized empirical likelihood estimators, our new estimators are much easier to compute. A simulation study finds that our estimators have better finite sample performance than the two-step GMM, and compare well to several potential alternatives in terms of both computational stability and overall performance.     

Linking of sample data to small areas

We consider methods for estimating the means of survey variables in domains of a finite population, where sample sizes are too small to obtain reliable direct estimates. We construct generalized compositions from the direct and traditional design-based synthetic estimators and propose the methodology for evaluating their coefficients. This methodology measures similarities among sample elements and estimates of the domain means. We propose the compositions for two cases of auxiliary information: domain-level characteristics are available; true means of auxiliary variables are available for the estimation domains, and unit-level auxiliary vectors are known for the sample elements. In the simulation study, we show where the generalized compositions improve the traditional synthetic and composite estimators.     

Partially generalized least squares and two-stage least squares estimators

A class of partially generalized least squares estimators and a class of partially generalized two-stage least squares estimators in regression models with heteroscedastic errors are proposed. By using these estimators a researcher can attain higher efficiency than that attained by the least squares or the two-stage least squares estimators without explicitly estimating each component of the heteroscedastic variances. However, the efficiency is not as high as that of the generalized least squares or the generalized two-stage least squares estimator calculated using the knowledge of the true variances. Hence the use of the term partial.     

Finite sample tail behavior of the multivariate trimmed mean based on Tukey-Donoho halfspace depth

Finite sample tail behavior of the Tukey-Donoho halfspace depth based multivariate trimmed mean is investigated with respect to a tail performance measure. It turns out that the tails of the sampling distribution of the α-depth-trimmed mean approach zero at least ⌊αn⌋ times as fast as the tails of the underlying population distribution and could be n−⌊αn⌋+ 1 times as fast. In addition, there is an intimate relationship among the tail behavior, the halfspace depth, and the finite sample breakdown point of the estimator. It is shown that the lower tail performance bound of the depth based trimmed mean is essentially the same as its halfspace depth and the breakdown point. This finding offers a new insight into the notion of the halfspace depth and extends the important role of the tail behavior as a quantitative assessment of robustness in the regression (He, Jurečková, Koenker and Portnoy (1990)) and the univariate location settings (Jurečková (1981)) to the multivariate location setting. Received: 1 July 1999     

Inference on an extended Roy model,with an application to schooling decisions in France

This paper considers the identification and estimation of an extension of Roy’s model (1951) of sectoral choice, which includes a non-pecuniary component in the selection equation and allows for uncertainty on potential earnings. We focus on the identification of the non-pecuniary component, which is key to disentangling the relative importance of monetary incentives versus preferences in the context of sorting across sectors. By making the most of the structure of the selection equation, we show that this component is point identified from the knowledge of the covariate effects on earnings, as soon as one covariate is continuous. Notably, and in contrast to most results on the identification of Roy models, this implies that identification can be achieved without any exclusion restriction nor large support condition on the covariates. As a by-product, bounds are obtained on the distribution of the ex ante   monetary returns. We propose a three-stage semiparametric estimation procedure for this model, which yields root-n$n$ consistent and asymptotically normal estimators. Finally, we apply our results to the educational context, by providing new evidence from French data that non-pecuniary factors are a key determinant of higher education attendance decisions.     

Examining bias in estimators of linear rational expectations models under misspecification

Most rational expectations models involve equations in which the dependent variable is a function of its lags and its expected future value. We investigate the asymptotic bias of generalized method of moment (GMM) and maximum likelihood (ML) estimators in such models under misspecification. We consider several misspecifications, and focus more specifically on the case of omitted dynamics in the dependent variable. In a stylized DGP, we derive analytically the asymptotic biases of these estimators. We establish that in many cases of interest the two estimators of the degree of forward-lookingness are asymptotically biased in opposite direction with respect to the true value of the parameter. We also propose a quasi-Hausman test of misspecification based on the difference between the GMM and ML estimators. Using Monte-Carlo simulations, we show that the ordering and direction of the estimators still hold in a more realistic New Keynesian macroeconomic model. In this set-up, misspecification is in general found to be more harmful to GMM than to ML estimators.     

Some large-concentration-parameter asymptotics for the k-class estimators

A sufficient condition is derived in this paper for the consistency and asymptotic normality of the k-class estimators (k-stochastic or nonstochastic) as the concentration parameter increases indefinitely, with the sample size either staying fixed or also increasing. It is further shown that the limited-information maximum likelihood estimator satisfies this condition. Since large sample size implies a large concentration parameter, but not vice versa, the usual conditions for consistency and asymptotic normality of the k-class estimators as the sample size increases can be inferred from the results given in this paper. But more importantly, the results in this paper shed further light on the small-sample properties of the stochastic k-class estimators and can serve as a starting point for the derivation of asymptotic approximations for these estimators as the concentration parameter goes to infinity, while the sample size either stays fixed or also goes to infinity.