Kengo Kato, Yuya Sasaki, Takuya Ura
arXiv 28 Aug 2018 · Econometrics · 5 citations (OpenAlex)
arXiv:1808.09375 · PDF · DOI · OpenAlex · Extracted main text
Kotlarski's identity has been widely used in applied economic research. However, how to conduct inference based on this popular identification approach has been an open question for two decades. This paper addresses this open problem by constructing a novel confidence band for the density function of a latent variable in repeated measurement error model. The confidence band builds on our finding that we can rewrite Kotlarski's identity as a system of linear moment restrictions. The confidence band controls the asymptotic size uniformly over a class of data generating processes, and it is consistent against all fixed alternatives. Simulation studies support our theoretical results.
appendix boundary found by appendix_command · 69% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bonhomme, S. and J.-M. Robin (2010) Generalized Non-Parametric Deconvolution with an Application to Earnings Dynamics | 1.000 | 5 | 3 | 100% |
| 2 | Li, T. and Q. Vuong (1998) Nonparametric Estimation of the Measurement Error Model Using Multiple Indicators | 0.923 | 14 | 6 | 79% |
| 3 | Kotlarski, I (1967) On Characterizing the Gamma and the Normal Distribution | 0.843 | 3 | 3 | 100% |
| 4 | Rao, B (1992) Identifiability in Stochastic Models: Characterization of Probability Distributions | 0.843 | 3 | 3 | 100% |
| 5 | Chernozhukov, V., D. Chetverikov, and K. Kato (2018) Inference on causal and structural parameters using many moment inequalities | 0.794 | 6 | 3 | 50% |
| 6 | Evdokimov, K (2010) Identification and Estimation of a Nonparametric Panel Data Model with Unobserved Heterogeneity, Working Paper | 0.737 | 3 | 2 | 100% |
| 7 | Li, T (2002) Robust and Consistent Estimation of Nonlinear Errors-in-Variables Models | 0.737 | 3 | 2 | 100% |
| 8 | Adusumilli, K., T. Otsu, and Y.-J. Whang (2017) Inference on Distribution Functions under Measurement Error, STICERD - Econometrics Paper Series 594 | 0.737 | 3 | 2 | 100% |
| 9 | Bissantz, N., L. Dümbgen, H. Holzmann, and A. Munk (2007) Nonparametric Confidence Bands in Deconvolution Density Estimation | 0.737 | 3 | 2 | 100% |
| 10 | Chen, X (2007) Large Sample Sieve Estimation of Semi-Nonparametric Models, in | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 64 scored citations.