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SUMMARY:A Simple Robust Procedure in Instrumental Variables Regression - X
 iyu Jiao (University of Oxford)
DTSTART;VALUE=DATE-TIME:20221110T140000Z
DTEND;VALUE=DATE-TIME:20221110T150000Z
UID:https://talks.ox.ac.uk/talks/id/ae20bfb4-1e2e-4d5e-9517-91f89fe29003/
DESCRIPTION:A frequent concern in applied economics is that key empirical 
 findings may be driven by a tiny set of outliers. To perform outlier robus
 tness checks in practical applications of instrumental variables regressio
 ns\, the common practice is first to run ordinary two stage least squares 
 and remove observations classified as outliers with residuals beyond a cho
 sen cut-off value. Subsequently 2SLS is re-calculated based on non-outlyin
 g observations\, and this procedure can also be iterated until robust resu
 lts are obtained. In this paper\, we analyze this simple robust algorithm 
 asymptotically\, then provide consistent estimation and valid inferential 
 procedures on structural parameters for practical implementation given the
  cut-off value. Moreover\, this paper provides asymptotic theory for setti
 ng the cut-off\, which is chosen to control the gauge (proportion of outli
 ers wrongly discovered). Finally\, we construct a formal test of outlier r
 obustness based on the Hausman type test statistics comparing between the 
 ordinary and robust estimators. Asymptotics are derived under the null hyp
 othesis that there is no contamination in the cross-sectional i.i.d. data.
  The established weak convergence result involves empirical processes and 
 the fixed point arguments. Thus\, this paper also proves the uniform and w
 eak law for a new class of weighted and marked empirical processes of resi
 duals in IVs regressions\, allowing for estimation errors of structural pa
 rameters. An empirical application to Acemoglu et al. (2019) shows the uti
 lity of the proposed theory.\nSpeakers:\nXiyu Jiao (University of Oxford)
LOCATION:Manor Road Building (Seminar Room G & Online via Zoom)\, Manor Ro
 ad OX1 3UQ
TZID:Europe/London
URL:https://talks.ox.ac.uk/talks/id/ae20bfb4-1e2e-4d5e-9517-91f89fe29003/
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DESCRIPTION:Talk:A Simple Robust Procedure in Instrumental Variables Regre
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