Clément de Chaisemartin, Xavier D'Haultfœuille
arXiv 25 Jun 2020 · Mathematics — Statistics Theory
arXiv:2006.14667 · PDF · DOI · OpenAlex · Extracted main text
We consider the estimation of a scalar parameter, when two estimators are available. The first is always consistent. The second is inconsistent in general, but has a smaller asymptotic variance than the first, and may be consistent if an assumption is satisfied. We propose to use the weighted sum of the two estimators with the lowest estimated mean-squared error (MSE). We show that this third estimator dominates the other two from a minimax-regret perspective: the maximum asymptotic-MSE-gain one may incur by using this estimator rather than one of the other estimators is larger than the maximum asymptotic-MSE-loss.
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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 | Cheng, Liao \ Shi (2019) `On uniform asymptotic risk of averaging gmm estimators', Quantitative Economics 10(3), 931–979 | 0.511 | 2 | 1 | 100% |
| 2 | Green \ Strawderman (1991) `A james-stein type estimator for combining unbiased and possibly biased estimators', Journal of the American Statistical Associ… | 0.511 | 2 | 1 | 100% |
| 3 | Angrist \ Pischke (2008) Mostly harmless econometrics: An empiricist's companion, Princeton university press | 0.405 | 1 | 1 | 100% |
| 4 | Breusch, Ward, Nguyen \ Kompas (2011) `On the fixed-effects vector decomposition', Political Analysis 19(2), 123–134 | 0.405 | 1 | 1 | 100% |
| 5 | Stein (1956) Inadmissibility of the usual estimator for the mean of a multivariate distribution, in `Proc | 0.405 | 1 | 1 | 100% |
| 6 | Hahn, Todd \ Van der Klaauw (2001) `Identification and estimation of treatment effects with a regression-discontinuity design', Econometrica 69(1), 201–209 | 0.405 | 1 | 1 | 100% |
| 7 | Hansen (2017) `Stein-like 2sls estimator', Econometric Reviews 36(6-9), 840–852 | 0.405 | 1 | 1 | 100% |
| 8 | Hirano, Imbens \ Ridder (2003) `Efficient estimation of average treatment effects using the estimated propensity score', Econometrica 71(4), 1161–1189 | 0.405 | 1 | 1 | 100% |
| 9 | James \ Stein (1961) Estimation with quadratic loss, in `Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Vol… | 0.405 | 1 | 1 | 100% |
| 10 | Judge \ Mittelhammer (2004) `A semiparametric basis for combining estimation problems under quadratic loss', Journal of the American Statistical Association… | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 14 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Introducing the b-value: combining unbiased and biased estimators from a sensitivity analysis perspective | 0.405 | 1 | 1 |
| 2 | Misspecification-Averse Estimation | 0.405 | 1 | 1 |