Joseph Fry
arXiv 22 Aug 2026 · Econometrics
arXiv:2608.22002 · PDF · Extracted main text
Asymptotic normality approximations often fail to hold for extremum estimators when the true value of the parameter is at or close to the boundary of a parameter space. I analyze and develop tests using a quasi-unconstrained estimator, which is asymptotically normal even when the true parameter vector is near or at the boundary. These results generalize previous work with this estimator by allowing for more types of constraints and showing how the method can naturally be modified when a nuisance parameter is also high-dimensional. I show that variations of Wald, Likelihood Ratio, and Lagrange Multiplier tests can control size in a uniform sense, provided the initial constrained estimator is sufficiently accurate. Lastly, I apply the method to an application involving network estimation with panel data.
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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 | Philipp Ketz (2018) Subvector inference when the true parameter vector may be near or at the boundary | 1.000 | 25 | 5 | 100% |
| 2 | de Paula, Áureo and Rasul, Imran and Souza, Pedro C L (2024) Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition | 0.874 | 15 | 2 | 100% |
| 3 | Donald W. K. Andrews (1999) Estimation When a Parameter is on a Boundary | 0.737 | 3 | 2 | 100% |
| 4 | Donald W.K. Andrews and Xu Cheng and Patrik Guggenberger (2020) Generic results for establishing the asymptotic size of confidence sets and tests | 0.727 | 13 | 4 | 38% |
| 5 | Timothy Besley and Anne Case (1995) Incumbent Behavior: Vote-Seeking, Tax-Setting, and Yardstick Competition | 0.644 | 2 | 2 | 100% |
| 6 | Moreira, Marcelo J (2003) A Conditional Likelihood Ratio Test for Structural Models | 0.644 | 2 | 2 | 100% |
| 7 | Alexandre Belloni and Victor Chernozhukov and Denis Chetverikov and… (2018) High-Dimensional Econometrics and Regularized GMM | 0.644 | 2 | 2 | 100% |
| 8 | Mehmet Caner and Hao Helen Zhang (2014) Adaptive Elastic Net for Generalized Methods of Moments | 0.511 | 2 | 1 | 100% |
| 9 | Müller, Ulrich K (2011) Efficient Tests Under a Weak Convergence Assumption | 0.511 | 2 | 1 | 100% |
| 10 | Montiel Olea, José Luis (2020) Admissible, Similar Tests: A Characterization | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 49 scored citations.