arXiv 20 Jan 2024 · Econometrics
arXiv:2401.11229 · PDF · DOI · OpenAlex · Extracted main text
The paper introduces a new estimation method for the standard linear regression model. The procedure is not driven by the optimisation of any objective function rather, it is a simple weighted average of slopes from observation pairs. The paper shows that such estimator is consistent for carefully selected weights. Other properties, such as asymptotic distributions, have also been derived to facilitate valid statistical inference. Unlike traditional methods, such as Least Squares and Maximum Likelihood, among others, the estimated residual of this estimator is not by construction orthogonal to the explanatory variables of the model. This property allows a wide range of practical applications, such as the testing of endogeneity, i.e., the correlation between the explanatory variables and the disturbance terms.
appendix boundary found by none_found · 100% 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 | Chan, F. and L. Mátyás (2023) Estimation with Pairwise Observations – Online Supplement self | 0.811 | 4 | 2 | 100% |
| 2 | McLeish, D. L (1975) Invariance Principles for Dependent Variables | 0.737 | 3 | 2 | 100% |
| 3 | Billingsley, P (1999) Convergence of Probability Measures, Second Edition | 0.644 | 2 | 2 | 100% |
| 4 | Hausman, J. A (1978) Specification tests in econometrics | 0.511 | 2 | 1 | 100% |
| 5 | Wooldridge, J. M (2002) Econometric Analysis of Cross Section and Panel Data | 0.405 | 1 | 1 | 100% |
| 6 | Johansen, S (1995) Likelihood-based Inference in Cointegrated Vector Auto-regressive Models | 0.405 | 1 | 1 | 100% |
| 7 | Phillips, P. C. B (1986) Understanding spurious regressions in econometrics | 0.405 | 1 | 1 | 100% |
| 8 | Wooldridge, J. M. and H. White (1988) Some invariance principles and central limit theorems for dependent heterogeneous processes | 0.405 | 1 | 1 | 100% |
Showing the top 8 of 8 scored citations.