8 papers
On Uniform Confidence Intervals for the Tail Index and the Extreme Quantile
Yuya Sasaki, Yulong Wang
This paper presents two results concerning uniform confidence intervals for the tail index and the extreme quantile. First, we show that it is impossible to construct a length-opti…
Error-based Knockoffs Inference for Controlled Feature Selection
Xuebin Zhao, Hong Chen, Yingjie Wang +4
Recently, the scheme of model-X knockoffs was proposed as a promising solution to address controlled feature selection under high-dimensional finite-sample settings. However, the p…
Nonparametric Tests of Tail Behavior in Stochastic Frontier Models
William, C. Horrace, Yulong Wang
This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded suppo…
Testing Finite Moment Conditions for the Consistency and the Root-N Asymptotic Normality of the GMM and M Estimators
Yuya Sasaki, Yulong Wang
Common approaches to inference for structural and reduced-form parameters in empirical economic analysis are based on the consistency and the root-n asymptotic normality of the GMM…
Estimation and Inference about Tail Features with Tail Censored Data
Yulong Wang, Zhijie Xiao
This paper considers estimation and inference about tail features when the observations beyond some threshold are censored. We first show that ignoring such tail censoring could le…
Fixed-k Inference for Conditional Extremal Quantiles
Yuya Sasaki, Yulong Wang
We develop a new extreme value theory for repeated cross-sectional and panel data to construct asymptotically valid confidence intervals (CIs) for conditional extremal quantiles fr…