Jean-Jacques Forneron, Serena Ng
arXiv 20 Apr 2020 · Econometrics · 3 citations (OpenAlex)
arXiv:2004.09627 · PDF · DOI · OpenAlex · Extracted main text
Assessing sampling uncertainty in extremum estimation can be challenging when the asymptotic variance is not analytically tractable. Bootstrap inference offers a feasible solution but can be computationally costly especially when the model is complex. This paper uses iterates of a specially designed stochastic optimization algorithm as draws from which both point estimates and bootstrap standard errors can be computed in a single run. The draws are generated by the gradient and Hessian computed from batches of data that are resampled at each iteration. We show that these draws yield consistent estimates and asymptotically valid frequentist inference for a large class of regular problems. The algorithm provides accurate standard errors in simulation examples and empirical applications at low computational costs. The draws from the algorithm also provide a convenient way to detect data irregularities.
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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 | Mroz, T (1987) The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions | 0.737 | 4 | 3 | 50% |
| 2 | Boyd, S. and L. Vanderberghe (2004) Convex Optimization | 0.737 | 3 | 2 | 100% |
| 3 | Newey, W. and D. McFadden (1994) Large Sample Estimation and Hypothesis Testing, in | 0.737 | 3 | 2 | 100% |
| 4 | Nocedal, J. and S. Wright (2006) Numerical Optimzation | 0.737 | 3 | 2 | 100% |
| 5 | Moffitt, R. and S. Zhang (2018) Income Volatility and the PSID: Past Research and New Results | 0.644 | 3 | 2 | 67% |
| 6 | Armstrong, T. B., M. Bertanha, and H. Hong (2014) A fast resample method for parametric and semiparametric models | 0.644 | 2 | 2 | 100% |
| 7 | Davidson, R. and J. G. MacKinnon (1999) Bootstrap Testing in Nonlinear Models | 0.644 | 2 | 2 | 100% |
| 8 | Honoré, B. E. and L. Hu (2017) Poor (Wo)man's Bootstrap | 0.644 | 2 | 2 | 100% |
| 9 | Kline, P. and A. Santos (2012) A Score Based Approach to Wild Bootstrap Inference | 0.644 | 2 | 2 | 100% |
| 10 | Welling, M. and Y. W. Teh (2011) Bayesian Learning via Stochastic Gradient Langevin Dynamics | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 56 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Automatically Differentiable Random Coefficient Logistic Demand Estimation | 1.000 | 6 | 3 |