[Forum SIS] Seminar of Prof. Zamar (UBC)

[Claudio Agostinelli]

Dipartimento di Scienze Ambientali, Informatica e Statistica
Universita' Ca' Foscari
Venezia

Announce of Seminar

A Natural Robustification of the Ordinary
Instrumental Variables Estimator

Prof. Ruben H. Zamar
Department of Statistics
University of British Columbia

8 July 2014 at 11am
Aula Giuseppe Volpato
(ex consiglio di statistica)
Palazzo Ala C2
San Giobbe, Venezia

Anyone interested is invited to participate

Abstract:
Instrumental variables estimators are designed to provide consistent
parameter estimates for linear regression models when some covariates
are correlated with the error term. We propose a new robust instrumental
variables estimator (RIV) which is a natural robustification of the
ordinary instrumental variables
estimator (OIV). Specifically, we construct RIV using a robust
multivariate location and scatter S-estimator to robustify the solution
of the estimating equations that define OIV.
RIV is computationally inexpensive and readily available for
applications through the R-library riv. It has attractive robustness and
asymptotic properties, including
- high resilience to outliers,
- bounded influence function,
- consistency under weak distributional assumptions,
- asymptotic normality under mild regularity conditions, and
- equivariance.
We further endow RIV with an iterative algorithm which allows for the
estimation of models with endogenous continuous covariates and exogenous
dummy covariates. We study the performance of RIV when the data contains
outliers using an extensive Monte Carlo simulation study and by applying
it to a limited-access dataset from the Framingham Heart Study-Cohort to
estimate the effect of long-term systolic blood pressure on left atrial
size.

Key words: Endogenous covariate; instrumental variable; robust estima-
tion; S-estimator.

Joint work with Gaby Cohen (Statistics, UBC) and Hernan Ortiz-Molina
(Sauder School of Business, UBC).


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