[Statlist] Research Seminar in Statistics *FRIDAY, 28 OCTOBER 2022* GSEM, University of Geneva

[gsem-support-instituts]

Dear All,

We are pleased to invite you to our next Research Seminar.

Looking forward to seeing you,


Organized by Professor Sebastian Engelke on behalf of the Research Center for Statistics (https://www.unige.ch/gsem/en/research/institutes/rcs/)


FRIDAY, 28 OCTOBER 2022 at 11:15am, Uni-Mail M 5220 & ONLINE
Zoom research webinar: https://unige.zoom.us/j/92924332087?pwd=U1U1NFk4dTFCRHBMeWYrSDBQcXBiQT09
Meeting ID: 929 2433 2087
Passcode: 399192

Outlier Robust Inference in Weak Linear Instrumental Variable Models
Mikhail ZHELONKIN, Erasmus University Rotterdam, The Netherlands
https://www.eur.nl/en/people/mikhail-zhelonkin

ABSTRACT:
We propose a general robust framework to construct weak instrument robust testing procedures that are also robust to outliers in the linear instrumental variable model. The framework is constructed upon M-estimators and we show that classical weak instrument robust tests, such as the Anderson and Rubin (1949) test and the Moreira (2003) conditional likelihood ratio (CLR) test can be obtained by specifying the M-estimators to be the Least Squares estimators. As it turns out that the classical testing procedures are not robust to outliers, we show how to construct robust alternatives. In particular, we show how to construct a robust CLR statistic based on Mallows-type M-estimators and show that its asymptotic distribution is the same as the (classical) CLR statistic. The theoretical results are corroborated by a simulation study. Finally, we revisit three empirical studies affected by outliers and apply the robust CLR test to re-evaluate their results.


Visit the website: https://www.unige.ch/gsem/en/research/seminars/rcs/