Xavier D'Haultfœuille, Purevdorj Tuvaandorj
arXiv 13 May 2022 · Econometrics · publishedQuantitative Economics (2024) · 6 citations (OpenAlex)
arXiv:2205.06713 · PDF · DOI · OpenAlex · Extracted main text
We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then, we show that the test is asymptotically of correct level, consistent and has power against local alternatives when the independence condition is relaxed, under two main conditions. The first is a slight reinforcement of the usual absence of correlation between the regressors and the error term. The second is that the number of strata, defined by values of the regressors not involved in the subvector test, is small compared to the sample size. The latter implies that the vector of nuisance regressors is discrete. Simulations and empirical illustrations suggest that the test has good power in practice if, indeed, the number of strata is small compared to the sample size.
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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 | Lei, L. and P. J. Bickel (2021) An Assumption-Free Exact Test For Fixed-Design Linear Models With Exchangeable Errors | 1.000 | 7 | 4 | 100% |
| 2 | DiCiccio, C. J. and J. P. Romano (2017) Robust Permutation Tests for Correlation and Regression Coefficients | 0.950 | 21 | 6 | 86% |
| 3 | Toulis, P (2022) Invariant Inference via Residual Randomization | 0.928 | 4 | 3 | 100% |
| 4 | Imbens, G. W. and D. B. Rubin (2015) Causal Inference in Statistics, Social, and Biomedical Sciences | 0.693 | 10 | 1 | 100% |
| 5 | Good, P (2013) Permutation Tests: A Practical Guide to Resampling Methods for Testing Hypotheses | 0.644 | 2 | 2 | 100% |
| 6 | Chen, L. H. Y., L. Goldstein, and Q.-M. Shao (2011) Normal Approximation by Stein's Method, Volume 2 | 0.511 | 5 | 2 | 20% |
| 7 | Hansen, B (2022) Probability and Statistics for Economists | 0.511 | 2 | 2 | 50% |
| 8 | Hansen, B. and S. Lee (2019) Asymptotic Theory for Clustered Samples | 0.511 | 2 | 2 | 50% |
| 9 | Imbens, G. W. and P. R. Rosenbaum (2005) Robust, Accurate Confidence Intervals with a Weak Instrument: Quarter of Birth and Education | 0.511 | 2 | 1 | 100% |
| 10 | Rosenbaum, P. R (1984) Conditional Permutation Tests and the Propensity Score in Observational Studies | 0.511 | 2 | 1 | 100% |
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