摘要翻译：
我们提出了二次型的遗漏估计，用于研究具有无限制异方差的线性模型。应用包括方差分析和多个回归模型中线性约束的检验。提出了一种近似算法，能够在非常大的数据集中精确地计算估计量。我们研究了我们的估计量的大样本性质，允许回归子的数量与观测数量成比例增长。一致性是在各种设置中建立的，在这些设置中，基于同方差性的插件方法和估计器表现出一阶偏差。对于二次增秩型，极限分布可用正态和非中心随机变量的线性组合来表示，并在强辨识下具有正态性。提出了标准误差估计，使得线性约束检验和二次型的一致有效置信区间的构造成为可能。我们在意大利的社会保障记录中发现，在工资决定的双向固定效应模型中，对方差分解的遗漏估计在关于工人、企业和工人-企业排序对工资不平等的相对贡献方面产生了与传统方法截然不同的结论。蒙特卡罗练习证实了我们的渐近近似的准确性，当工人在企业集团之间的流动受到限制时，出现了明显的非正态性证据。
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英文标题：
《Leave-out estimation of variance components》
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作者：
Patrick Kline, Raffaele Saggio, Mikkel S{\o}lvsten
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  We propose leave-out estimators of quadratic forms designed for the study of linear models with unrestricted heteroscedasticity. Applications include analysis of variance and tests of linear restrictions in models with many regressors. An approximation algorithm is provided that enables accurate computation of the estimator in very large datasets. We study the large sample properties of our estimator allowing the number of regressors to grow in proportion to the number of observations. Consistency is established in a variety of settings where plug-in methods and estimators predicated on homoscedasticity exhibit first-order biases. For quadratic forms of increasing rank, the limiting distribution can be represented by a linear combination of normal and non-central $\chi^2$ random variables, with normality ensuing under strong identification. Standard error estimators are proposed that enable tests of linear restrictions and the construction of uniformly valid confidence intervals for quadratic forms of interest. We find in Italian social security records that leave-out estimates of a variance decomposition in a two-way fixed effects model of wage determination yield substantially different conclusions regarding the relative contribution of workers, firms, and worker-firm sorting to wage inequality than conventional methods. Monte Carlo exercises corroborate the accuracy of our asymptotic approximations, with clear evidence of non-normality emerging when worker mobility between blocks of firms is limited.
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PDF链接：
https://arxiv.org/pdf/1806.01494