相关论文: Jackknife Empirical Likelihood-based inference for…

The maximum likelihood estimator in nonlinear panel data models with interactive fixed effects is biased. Several bias correction methods, such as analytical and jackknife approaches, have been proposed to enable valid inference. This paper…

In this paper we consider the problem of inference in statistical models characterized by moment restrictions by casting the problem within the Exponentially Tilted Empirical Likelihood (ETEL) framework. Because the ETEL function has a well…

In this paper, we develop a simple non-parametric test for testing normal distribution based on the distance between empirical zero-bias transformation and empirical distribution. The asymptotic properties of the test statistic are studied.…

We investigate the effect of tax evasion on the income distribution and the inequality index of a society through a kinetic model described by a set of nonlinear ordinary differential equations. The model allows to compute the global…

The inequality is computed through the so-called Gini index. The population is assumed to have the variable of interest distributed according to the Gamma probability distribution. The results show that the Gini index is reduced when the…

In this paper we derive inferential results for a new index of inequality, specifically defined for capturing significant changes observed both in the left and in the right tail of the income distributions. The latter shifts are an apparent…

Covariance matrix estimation, a classical statistical topic, poses significant challenges when the sample size is comparable to or smaller than the number of features. In this paper, we frame covariance matrix estimation as a compound…

The infinitesimal jackknife (IJ) has recently been applied to the random forest to estimate its prediction variance. These theorems were verified under a traditional random forest framework which uses classification and regression trees…

In this paper, we develop statistical inference techniques for the unknown coefficient functions and single-index parameters in single-index varying-coefficient models. We first estimate the nonparametric component via the local linear…

We address the challenge of constructing valid confidence intervals and sets in problems of prediction across multiple environments. We investigate two types of coverage suitable for these problems, extending the jackknife and…

Panel local projection (LP) with fixed-effects (FE) is widely adopted for evaluating the economic consequences of financial crises across countries. This paper highlights a fundamental methodological issue: the presence of the Nickell bias…

The argument that the alarming level of Gini coefficient is 0.4 is very popular, especially in the media industry, all around the world for a long time. Although the 0.4 standard is widely accepted, the derivation of the value lacks rigid…

The classical Lorenz curve is often used to depict inequality in a population of incomes, and the associated Gini coefficient is relied upon to make comparisons between different countries and other groups. The sample estimates of these…

Income segregation measures the extent to which households choose to live near other households with similar incomes. Sociologists theorize that income segregation can exacerbate the impacts of income inequality, and have developed indices…

The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consideration. Our risk measure is coherent and catches variability,…

We consider a correlated random coefficient panel data model with two-way fixed effects and interactive fixed effects in a fixed T framework. We propose a two-way mean group (TW-MG) estimator for the expected value of the slope coefficient…

There has been growing attention on how to effectively and objectively use covariate information when the primary goal is to estimate the average treatment effect (ATE) in randomized clinical trials (RCTs). In this paper, we propose an…

Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while have distinguished features. In this project, our primary goal is to develop stable and practical…

A nonlinear model with response variable missing at random is studied. In order to improve the coverage accuracy, the empirical likelihood ratio (EL) method is considered. The asymptotic distribution of EL statistic and also of its…

We examine the effects of monetary policy on income inequality in Japan using a novel econometric approach that jointly estimates the Gini coefficient based on micro-level grouped data of households and the dynamics of macroeconomic…