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We develop new methods for constructing confidence sets and intervals in linear instrumental variables (IV) models based on tests that remain valid under weak identification and under heteroskedastic, autocorrelated, or clustered errors. In…
Given $p$-dimensional Gaussian vectors $X_i \stackrel{iid}{\sim} N(0, \Sigma)$, $1 \leq i \leq n$, where $p \geq n$, we are interested in testing a null hypothesis where $\Sigma = I_p$ against an alternative hypothesis where all eigenvalues…
This paper addresses the problem of fitting a known distribution to the innovation distribution in a class of stationary and ergodic time series models. The asymptotic null distribution of the usual Kolmogorov--Smirnov test based on the…
In this paper, we use the results in Andrews and Cheng (2012), extended to allow for parameters to be near or at the boundary of the parameter space, to derive the asymptotic distributions of the two test statistics that are used in the…
This study compares statistical properties of ARCH tests that are robust to the presence of the misspecified conditional mean. The approaches employed in this study are based on two nonparametric regressions for the conditional mean. First…
The method of multivariable Mendelian randomization uses genetic variants to instrument multiple exposures, to estimate the effect that a given exposure has on an outcome conditional on all other exposures included in a linear model.…
We developed a novel approach to identification and model testing in linear structural equation models (SEMs) based on auxiliary variables (AVs), which generalizes a widely-used family of methods known as instrumental variables. The…
Using Subaru Hyper Suprime-Cam (HSC) year 1 data, we perform the first $k$-cut cosmic shear analysis constraining both $\Lambda$CDM and $f(R)$ Hu-Sawicki modified gravity. To generate the $f(R)$ cosmic shear theory vector, we use the matter…
Random Hermitian matrices are used to model complex systems without time-reversal invariance. Adding an external source to the model can have the effect of shifting some of the matrix eigenvalues, which corresponds to shifting some of the…
A model is proposed for the statistical analysis of arbitrary-strength quantum measurements, based on a picture of "sampling weak values" from different configurations of the system. The model is comprised of two elements: a "local weak…
For the over-identified linear instrumental variables model, researchers commonly report the 2SLS estimate along with the robust standard error and seek to conduct inference with these quantities. If errors are homoskedastic, one can…
When dealing with general Lipschitzian optimization problems, there are many problem classes where even weak constraint qualifications fail at local minimizers. In contrast to a constraint qualification, a problem qualification does not…
The singular value decomposition is widely used to approximate data matrices with lower rank matrices. Feng and He [Ann. Appl. Stat. 3 (2009) 1634-1654] developed tests on dimensionality of the mean structure of a data matrix based on the…
We consider the problem of conditional independence (CI) testing and adopt a kernel-based approach. Kernel-based CI tests embed variables in reproducing kernel Hilbert spaces, regress their embeddings on the conditioning variables, and test…
We propose a conditional independence (CI) test based on a new measure, the \emph{spectral generalized covariance measure} (SGCM). The SGCM is constructed by expressing the squared norm of the conditional cross-covariance operator in…
The relevance condition of Integrated Conditional Moment (ICM) estimators is significantly weaker than the conventional IV's in at least two respects: (1) consistent estimation without excluded instruments is possible, provided endogenous…
In this paper, we present an algorithm for minimizing the difference between two submodular functions using a variational framework which is based on (an extension of) the concave-convex procedure [17]. Because several commonly used metrics…
We provide general formulation of weak identification in semiparametric models and an efficiency concept. Weak identification occurs when a parameter is weakly regular, i.e., when it is locally homogeneous of degree zero. When this happens,…
This paper develops a conditional independence (CI) test from a conditional density ratio (CDR) for weakly dependent data. The main contribution is presenting a closed-form expression for the estimated conditional density ratio function…
This paper considers the problem of detecting a few signals in high-dimensional complex-valued Gaussian data satisfying Johnstone's (2001) \textit{spiked covariance model}. We focus on the difficult case where signals are weak in the sense…