{"title":"基于隐含概率的子向量弱识别鲁棒性检验。","authors":"Marine Carrasco, Saraswata Chaudhuri","doi":"10.3390/e27040396","DOIUrl":null,"url":null,"abstract":"<p><p>This paper develops tests for hypotheses concerning subvectors of parameters in models defined by moment conditions. It is well known that conventional tests such as Wald, Likelihood-ratio and Score tests tend to over-reject when the identification is weak. To prevent uncontrolled size distortion and introduce refined finite-sample performance, we extend the projection-based test to a modified version of the score test using implied probabilities obtained by information theoretic criteria. Our test is performed in two steps, where the first step reduces the space of parameter candidates, while the second one involves the modified score test mentioned earlier. We derive the asymptotic properties of this procedure for the entire class of Generalized Empirical Likelihood implied probabilities. Simulations show that the test has very good finite-sample size and power. Finally, we apply our approach to the veteran earnings and find a negative impact of the veteran status.</p>","PeriodicalId":11694,"journal":{"name":"Entropy","volume":"27 4","pages":""},"PeriodicalIF":2.1000,"publicationDate":"2025-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC12025440/pdf/","citationCount":"0","resultStr":"{\"title\":\"Weak Identification Robust Tests for Subvectors Using Implied Probabilities.\",\"authors\":\"Marine Carrasco, Saraswata Chaudhuri\",\"doi\":\"10.3390/e27040396\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p><p>This paper develops tests for hypotheses concerning subvectors of parameters in models defined by moment conditions. It is well known that conventional tests such as Wald, Likelihood-ratio and Score tests tend to over-reject when the identification is weak. To prevent uncontrolled size distortion and introduce refined finite-sample performance, we extend the projection-based test to a modified version of the score test using implied probabilities obtained by information theoretic criteria. Our test is performed in two steps, where the first step reduces the space of parameter candidates, while the second one involves the modified score test mentioned earlier. We derive the asymptotic properties of this procedure for the entire class of Generalized Empirical Likelihood implied probabilities. Simulations show that the test has very good finite-sample size and power. Finally, we apply our approach to the veteran earnings and find a negative impact of the veteran status.</p>\",\"PeriodicalId\":11694,\"journal\":{\"name\":\"Entropy\",\"volume\":\"27 4\",\"pages\":\"\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2025-04-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC12025440/pdf/\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Entropy\",\"FirstCategoryId\":\"101\",\"ListUrlMain\":\"https://doi.org/10.3390/e27040396\",\"RegionNum\":3,\"RegionCategory\":\"物理与天体物理\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"PHYSICS, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Entropy","FirstCategoryId":"101","ListUrlMain":"https://doi.org/10.3390/e27040396","RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"PHYSICS, MULTIDISCIPLINARY","Score":null,"Total":0}
Weak Identification Robust Tests for Subvectors Using Implied Probabilities.
This paper develops tests for hypotheses concerning subvectors of parameters in models defined by moment conditions. It is well known that conventional tests such as Wald, Likelihood-ratio and Score tests tend to over-reject when the identification is weak. To prevent uncontrolled size distortion and introduce refined finite-sample performance, we extend the projection-based test to a modified version of the score test using implied probabilities obtained by information theoretic criteria. Our test is performed in two steps, where the first step reduces the space of parameter candidates, while the second one involves the modified score test mentioned earlier. We derive the asymptotic properties of this procedure for the entire class of Generalized Empirical Likelihood implied probabilities. Simulations show that the test has very good finite-sample size and power. Finally, we apply our approach to the veteran earnings and find a negative impact of the veteran status.
期刊介绍:
Entropy (ISSN 1099-4300), an international and interdisciplinary journal of entropy and information studies, publishes reviews, regular research papers and short notes. Our aim is to encourage scientists to publish as much as possible their theoretical and experimental details. There is no restriction on the length of the papers. If there are computation and the experiment, the details must be provided so that the results can be reproduced.