arXiv 1 Feb 2025 · Econometrics · publishedEconometric Reviews (2024) · 2 citations (OpenAlex)
arXiv:2502.00450 · PDF · DOI · OpenAlex · Extracted main text
We propose and study three confidence intervals (CIs) centered at an estimator that is intentionally biased to reduce mean squared error. The first CI simply uses an unbiased estimator's standard error; compared to centering at the unbiased estimator, this CI has higher coverage probability for confidence levels above 91.7%, even if the biased and unbiased estimators have equal mean squared error. The second CI trades some of this "excess" coverage for shorter length. The third CI is centered at a convex combination of the two estimators to further reduce length. Practically, these CIs apply broadly and are simple to compute.
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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 | Kaplan, David M. and Yixiao Sun (2017) Smoothed Estimating Equations for Instrumental Variables Quantile Regression self | 1.000 | 8 | 3 | 100% |
| 2 | Armstrong, Timothy B. and Michal Kolesár (2021) Sensitivity analysis using approximate moment condition models | 1.000 | 6 | 4 | 100% |
| 3 | Fernandes, Marcelo, Emmanuel Guerre, and Eduardo Horta (2021) Smoothing Quantile Regressions | 1.000 | 5 | 3 | 100% |
| 4 | He, Xuming, Xiaoou Pan, Kean Ming Tan, and Wen-Xin Zhou (2023) Smoothed quantile regression with large-scale inference | 1.000 | 5 | 3 | 100% |
| 5 | Cheng, Xu, Zhipeng Liao, and Ruoyao Shi (2019) On Uniform Asymptotic Risk of Averaging GMM Estimators | 0.928 | 4 | 3 | 100% |
| 6 | Hansen, Bruce E (2017) A Stein-Like 2SLS Estimator | 0.928 | 4 | 3 | 100% |
| 7 | Angrist, Joshua, Victor Chernozhukov, and Iván Fernández-Val (2006) Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure | 0.874 | 5 | 2 | 100% |
| 8 | Chernozhukov, Victor and Christian Hansen (2006) Instrumental quantile regression inference for structural and treatment effect models | 0.737 | 3 | 2 | 100% |
| 9 | Groeneboom, Piet, Geurt Jongbloed, and Birgit I. Witte (2010) Maximum smoothed likelihood estimation and smoothed maximum likelihood estimation in the current status model | 0.737 | 3 | 2 | 100% |
| 10 | Horowitz, Joel L (1992) A smoothed maximum score estimator for the binary response model | 0.737 | 3 | 2 | 100% |
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