arXiv 26 Jan 2025 · Econometrics
arXiv:2501.15692 · PDF · DOI · OpenAlex · Extracted main text
In many applications, the parameter of interest involves a simplex-valued weight which is identified as a solution to an optimization problem. Examples include synthetic control methods with group-level weights and various methods of model averaging and forecast combination. The simplex constraint on the weight poses a challenge in statistical inference due to the constraint potentially binding. In this paper, we propose a simple method of constructing a confidence set for the weight and prove that the method is asymptotically uniformly valid. The procedure does not require tuning parameters or simulations to compute critical values. The confidence set accommodates both the cases of point-identification or set-identification of the weight. We illustrate the method with an empirical example.
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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 | Cox and Shi (2023) Simple Adaptive Size-exact Testing for Full-vector and Subvector Inference in Moment Inequality Models | 0.693 | 7 | 1 | 100% |
| 2 | Gunsilius (2023) Distributional Synthetic Controls | 0.693 | 7 | 1 | 100% |
| 3 | Hansen (2007) Least Squares Model Averaging | 0.644 | 4 | 1 | 100% |
| 4 | Al Mohamad, van Zwet, Cator, and Goeman (2020) Adaptive Critical Value for Constrained Likelihood Ratio Testing | 0.630 | 8 | 1 | 75% |
| 5 | Ketz (2018) Subvector Inference When the True Parameter Vector May Be Near or at the Boundary | 0.585 | 3 | 1 | 100% |
| 6 | Li (2025) Inference for Constrained Extremum Estimators | 0.585 | 3 | 1 | 100% |
| 7 | Timmermann (2006) Forecast Combinations | 0.585 | 3 | 1 | 100% |
| 8 | Abadie (2021) Using Synthetic Controls: Feasibility, Data Requirements, and Methodological Aspects | 0.511 | 2 | 1 | 100% |
| 9 | Andrews (1999) Estimation When a Parameter Is on a Boundary | 0.511 | 2 | 1 | 100% |
| 10 | Chen (2020) A Distributional Synthetic Control Method for Policy Evaluation | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 37 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2307.05122 | 0.644 | 4 | 1 |
| 2 | 2510.26106 | 0.511 | 5 | 1 |