Mikkel Sølvsten

University of Wisconsin - Madison
Office 7430
Department of Economics
William H. Sewell Social Science Building
1180 Observatory Drive
Madison, WI 53706
Tel: 608-262-1789

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: University of Wisconsin - Madison

NBER Working Papers and Publications

September 2019Leave-out Estimation of Variance Components
with Patrick Kline, Raffaele Saggio: w26244
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 χ2 random varia...

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