Aristide Houndetoungan, Abdoul Haki Maoude
arXiv 7 Feb 2024 · Econometrics · 2 citations (OpenAlex)
arXiv:2402.05030 · PDF · DOI · OpenAlex · Extracted main text
We present a simulation-based inference approach for two-stage estimators, focusing on extremum estimators in the second stage. We accommodate a broad range of first-stage estimators, including extremum estimators, high-dimensional estimators, and other types of estimators such as Bayesian estimators. The key contribution of our approach lies in its ability to estimate the asymptotic distribution of two-stage estimators, even when the distributions of both the first- and second-stage estimators are non-normal and when the second-stage estimator's bias, scaled by the square root of the sample size, does not vanish asymptotically. This enables reliable inference in situations where standard methods fail. Additionally, we propose a debiased estimator, based on the mean of the estimated distribution function, which exhibits improved finite sample properties. Unlike resampling methods, our approach avoids the need for multiple calculations of the two-stage estimator. We illustrate the effectiveness of our method in an empirical application on peer effects in adolescent fast-food consumption, where we address the issue of biased instrumental variable estimates resulting from many weak instruments.
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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 | Cattaneo, M. D., M. Jansson, and X. Ma (2019) Two-step estimation and inference with possibly many included covariates | 1.000 | 10 | 4 | 100% |
| 2 | Amemiya, T (1985) Advanced econometrics | 0.874 | 5 | 2 | 100% |
| 3 | Murphy, K. M. and R. H. Topel (2002) Estimation and inference in two-step econometric models | 0.843 | 3 | 3 | 100% |
| 4 | Newey, W. K. and D. McFadden (1994) Large sample estimation and hypothesis testing | 0.843 | 3 | 3 | 100% |
| 5 | Ackerberg, D., X. Chen, and J. Hahn (2012) A practical asymptotic variance estimator for two-step semiparametric estimators | 0.737 | 3 | 2 | 100% |
| 6 | Belloni, A., V. Chernozhukov, I. Fernandez-Val, and C. Hansen (2017) Program evaluation and causal inference with high-dimensional data | 0.737 | 3 | 2 | 100% |
| 7 | Boucher, V. and A. Houndetoungan (2023) Estimating peer effects using partial network data | 0.737 | 3 | 2 | 100% |
| 8 | Bramoullé, Y., H. Djebbari, and B. Fortin (2009) Identification of peer effects through social networks | 0.737 | 3 | 2 | 100% |
| 9 | Chen, X. and Z. Liao (2015) Sieve semiparametric two-step GMM under weak dependence | 0.737 | 3 | 2 | 100% |
| 10 | Chernozhukov, V., D. Chetverikov, M. Demirer, E. Duflo, C. Hansen, W… (2018) Double/debiased machine learning for treatment and structural parameters: Double/debiased machine learning | 0.737 | 3 | 2 | 100% |
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