Event Date
SPEAKER: Takuya Ura; Economics, UC Davis
TITLE: “Inference based on Kotlarski's Identity”
ABSTRACT: Kotlarski's identity has been widely used in applied economic research. However, how to conduct inference based on this popular identification approach has been an open question for two decades. This paper addresses this open problem by constructing a novel confidence band for the density function of a latent variable in repeated measurement error model. The confidence band builds on our finding that we can rewrite Kotlarski's identity as a system of linear moment restrictions. The confidence band controls the asymptotic size uniformly over a class of data generating processes, and it is consistent against all fixed alternatives. Simulation studies support our theoretical results.
This is joint work with Kengo Kato (Cornell) and Yuya Sasaki (Vanderbilt).
Manuscript available on https://arxiv.org/abs/1808.09375.
Speaker's web page: http://economics.ucdavis.edu/people/tu10
DATE: Thursday, February 14th, 4:10pm
LOCATION: MSB 1147, Colloquium Room
REFRESHMENTS: 3:30pm MSB 4110 (4th floor lounge)
STA 290 Seminar List: https://statistics.ucdavis.edu/seminars