Asymptotic power of sphericity tests for high-dimensional data

Onatski, Alexei; Moreira, Manuel; Hallin, Marc

doi:10.1214/13-aos1100

Cited by 129 publications

(171 citation statements)

References 46 publications

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“…Various tests regarding the number of factors might be useful to implement Ng, 2002, Moon andWeidner, 2010b) but these are fragile (Onatski, Moreira and Hallin, 2011). Moreover, we adopt the assumption that factors are su¢ ciently strong so that the consistency condition for the number of factors and consequently for factors and factor loadings is satis…ed (for alternative views see Onatski, 2012 or Pesaran andTosetti, 2011).…”

Section: Interactive Linear E¤ects and Restrictions On Conditional Meansmentioning

confidence: 99%

Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls

Gobillon

Magnac

2016

Review of Economics and Statistics

288

217

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu The Institute for the Study of Labor (IZA) in Bonn is a local and virtual international research center and a place of communication between science, politics and business. IZA is an independent nonprofit organization supported by Deutsche Post Foundation. The center is associated with the University of Bonn and offers a stimulating research environment through its international network, workshops and conferences, data service, project support, research visits and doctoral program. IZA engages in (i) original and internationally competitive research in all fields of labor economics, (ii) development of policy concepts, and (iii) dissemination of research results and concepts to the interested public. Terms of use: Documents in D I S C U S S I O N P A P E R S E R I E SIZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. A revised version may be available directly from the author.IZA Discussion Paper No. 7493 July 2013 ABSTRACT Regional Policy Evaluation: Interactive Fixed Effects and Synthetic ControlsIn this paper, we investigate the use of interactive effect or linear factor models in regional policy evaluation. We contrast treatment effect estimates obtained by Bai (2009)'s least squares method with the popular difference in difference estimates as well as with estimates obtained using synthetic control approaches as developed by Abadie and coauthors. We show that difference in differences are generically biased and we derive the support conditions that are required for the application of synthetic controls. We construct an extensive set of Monte Carlo experiments to compare the performance of these estimation methods in small samples. As an empirical illustration, we also apply them to the evaluation of the impact on local unemployment of an enterprise zone policy implemented in France in the 1990s. JEL Classification:C21, C23, H53, J64, R11

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Section: Interactive Linear E¤ects and Restrictions On Conditional Meansmentioning

confidence: 99%

Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls

Gobillon

Magnac

2016

Review of Economics and Statistics

288

217

View full text Add to dashboard Cite

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“…independent random variables with common moments, 17 Ex ji = 0, 18 and the Lindeberg condition holds,…”

Section: Clt Of Lss For Sample Covariance Matricesmentioning

confidence: 99%

Power computation for hypothesis testing with high-dimensional covariance matrices

Lin

Liu

Zheng

et al. 2016

Computational Statistics & Data Analysis

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“…For higher-order expansions, we can use Watson's lemma; for references, we recommend Olver (1997) for deterministic functions and Onatski, Moreira, andHallin (2014a, 2014b) for random functions.…”

Section: Asymptotic Theorymentioning

confidence: 99%

Optimal Two-Sided Tests for Instrumental Variables Regression with Heteroskedastic and Autocorrelated Errors

Moreira

2015

SSRN Journal

Self Cite

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1 This paper expands upon and supersedes the corresponding sections of our working paper "Contributions to the Theory of Optimal Tests." We thank Benjamin Mills and Gustavo de Castro for outstanding research assistance, and are particularly indebted to Gustavo for suggesting and implementing the designs for power comparisons reported here. We thank Leandro Gorno, Patrik Guggenberger, Alexei Onatski, and Lucas Vilela for helpful comments; Jose Diogo Barbosa, Felipe Flores, and Leonardo Salim for suggestions on earlier drafts of this paper; and Isaiah Andrews and Jose Olea for productive discussions and sharing numerical codes. We gratefully acknowledge the research support of CNPq, FAPERJ, and NSF (via grant SES-0819761). arXiv:1505.06644v1 [math.ST] 25 May 2015Abstract This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We introduce two weights which are invariant to orthogonal transformations of the instruments; e.g., changing the order in which the instruments appear. While tests using the MM1 weight can be severely biased, optimal tests based on the MM2 weight are naturally two-sided when errors are homoskedastic.We propose two boundary conditions that yield two-sided tests whether errors are homoskedastic or not. The locally unbiased (LU) condition is related to the power around the null hypothesis and is a weaker requirement than unbiasedness. The strongly unbiased (SU) condition is more restrictive than LU, but the associated WAP tests are easier to implement. Several tests are SU in finite samples or asymptotically, including tests robust to weak IV (such as the Anderson-Rubin, score, conditional quasi-likelihood ratio, and I. Andrews' (2015) PI-CLC tests) and two-sided tests which are optimal when the sample size is large and instruments are strong.We refer to the WAP-SU tests based on our weights as MM1-SU and MM2-SU tests. Dropping the restrictive assumptions of normality and known variance, the theory is shown to remain valid at the cost of asymptotic approximations. The MM2-SU test is optimal under the strong IV asymptotics, and outperforms other existing tests under the weak IV asymptotics.

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Asymptotic power of sphericity tests for high-dimensional data

Cited by 129 publications

References 46 publications

Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls

Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls

Power computation for hypothesis testing with high-dimensional covariance matrices

Optimal Two-Sided Tests for Instrumental Variables Regression with Heteroskedastic and Autocorrelated Errors

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