| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17442 |
| 来源ID | Working Paper 17442 |
| Robust Inference for Misspecified Models Conditional on Covariates | |
| Alberto Abadie; Guido W. Imbens; Fanyin Zheng | |
| 发表日期 | 2011-09-22 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Following the work by White (1980ab; 1982) it is common in empirical work in economics to report standard errors that are robust against general misspecification. In a regression setting these standard errors are valid for the parameter that in the population minimizes the squared difference between the conditional expectation and the linear approximation, averaged over the population distribution of the covariates. In nonlinear settings a similar interpretation applies. In this note we discuss an alternative parameter that corresponds to the approximation to the conditional expectation based on minimization of the squared difference averaged over the sample, rather than the population, distribution of a subset of the variables. We argue that in some cases this may be a more interesting parameter. We derive the asymptotic variance for this parameter, generally smaller than the White robust variance, and we propose a consistent estimator for the asymptotic variance. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/w17442 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575116 |
| 推荐引用方式 GB/T 7714 | Alberto Abadie,Guido W. Imbens,Fanyin Zheng. Robust Inference for Misspecified Models Conditional on Covariates. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17442.pdf（218KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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