Abstract Details
Activity Number:
|
168
|
Type:
|
Contributed
|
Date/Time:
|
Monday, August 4, 2014 : 10:30 AM to 12:20 PM
|
Sponsor:
|
IMS
|
Abstract #313499
|
|
Title:
|
Oracle Inference for Misspecified Models
|
Author(s):
|
Mihai Giurcanu*+ and Brett Presnell
|
Companies:
|
University of Florida and University of Florida
|
Keywords:
|
misspecified models ;
spatio-temporal processes ;
block-bootstrap ;
moment condition models ;
oracle property ;
efficient estimators
|
Abstract:
|
We have developed a new class of estimators for misspecified moment condition models for stationary time series. These estimators have an oracle property: their large sample behavior is the same as of efficient estimators obtained under the apriori information that the true moment conditions were known in advance. We present asymptotic inferential procedures for these estimators as well as of various block-bootstrap estimators of their distributions and of null distributions of relevant test statistics. The results of an extensive simulation study show the finite sample properties of the asymptotic and block-bootstrap oracle inferential procedures for a stationary dynamic spatial process with misspecified random effects. This research is joint with Dr Brett Presnell.
|
Authors who are presenting talks have a * after their name.
Back to the full JSM 2014 program
|
2014 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Professional Development program, please contact the Education Department.
The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Copyright © American Statistical Association.