Related papers: The exact distribution of the conditional likeliho…

We derive asymptotic expansions up to order $n^{-1/2}$ for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in the class of dispersion models, under a sequence of Pitman alternatives. The…

In an instrumental variable model, the score statistic can be bounded for any alternative in parts of the parameter space. These regions involve a constraint on the first-stage regression coefficients and the reduced-form covariance matrix.…

Composite likelihood inference has gained much popularity thanks to its computational manageability and its theoretical properties. Unfortunately, performing composite likelihood ratio tests is inconvenient because of their awkward…

In this paper, we prove a conditional limit theorem for independent not necessarily identically distributed random variables. Namely, we obtain the asymptotic distribution of a large number of them given the sum.

We consider the problem of testing for a dose-related effect based on a candidate set of (typically nonlinear) dose-response models using likelihood-ratio tests. For the considered models this reduces to assessing whether the slope…

This paper derives the rate of convergence and asymptotic distribution for a class of Kolmogorov-Smirnov style test statistics for conditional moment inequality models for parameters on the boundary of the identified set under general…

The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional…

There has been much interest in the nonparametric testing of conditional independence in the econometric and statistical literature, but the simplest and potentially most useful method, based on the sample partial correlation, seems to have…

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…

Hierarchical statistical models are widely employed in information science and data engineering. The models consist of two types of variables: observable variables that represent the given data and latent variables for the unobservable…

Certain causal models involving unmeasured variables induce no independence constraints among the observed variables but imply, nevertheless, inequality contraints on the observed distribution. This paper derives a general formula for such…

We propose a new conditional dependence measure and a statistical test for conditional independence. The measure is based on the difference between analytic kernel embeddings of two well-suited distributions evaluated at a finite set of…

This paper derives the asymptotic distribution of variance weighted Kolmogorov-Smirnov statistics for conditional moment inequality models for the case of a one dimensional covariate. The asymptotic distribution depends on the data…

In this paper the asymptotic distribution of estimators is derived in a general regression setting where rank restrictions on a submatrix of the coefficient matrix are imposed and the regressors can include stationary or I(1) processes.…

In this paper, we apply doubly robust approach to estimate, when some covariates are given, the conditional average treatment effect under parametric, semiparametric and nonparametric structure of the nuisance propensity score and outcome…

We study properties of two resampling scenarios: Conditional Randomisation and Conditional Permutation schemes, which are relevant for testing conditional independence of discrete random variables $X$ and $Y$ given a random variable $Z$.…

In this work, we attempt to refine the classic asymptotic formulae to describe the probability distribution of likelihood-ratio statistical tests. The idea is to split the probability distribution function into two parts. One part is…

We consider a nonparametric regression model with continuous endogenous independent variables when only discrete instruments are available that are independent of the error term. Although this framework is very relevant for applied…

The ability to estimate joint, conditional and marginal probability distributions over some set of variables is of great utility for many common machine learning tasks. However, estimating these distributions can be challenging,…

Beyond conditional average treatment effects, treatments may impact the entire outcome distribution in covariate-dependent ways, for example, by altering the variance or tail risks for specific subpopulations. We propose a novel estimand to…