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Robust inference for the Two-Sample 2SLS estimator.

ABSTRACT: The Two-Sample Two-Stage Least Squares (TS2SLS) data combination estimator is a popular estimator for the parameters in linear models when not all variables are observed jointly in one single data set. Although the limiting normal distribution has been established, the asymptotic variance formula has only been stated explicitly in the literature for the case of conditional homoskedasticity. By using the fact that the TS2SLS estimator is a function of reduced form and first-stage OLS estimators, we derive the variance of the limiting normal distribution under conditional heteroskedasticity. A robust variance estimator is obtained, which generalises to cases with more general patterns of variable (non-)availability. Stata code and some Monte Carlo results are provided in an Appendix. Stata code for a nonlinear GMM estimator that is identical to the TS2SLS estimator in just identified models and asymptotically equivalent to the TS2SLS estimator in overidentified models is also provided there.

SUBMITTER: Pacini D

PROVIDER: S-EPMC5026329 | biostudies-literature | 2016 Sep

REPOSITORIES: biostudies-literature

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Robust inference for the Two-Sample 2SLS estimator.

Pacini David D Windmeijer Frank F

Economics letters 20160901

The Two-Sample Two-Stage Least Squares (TS2SLS) data combination estimator is a popular estimator for the parameters in linear models when not all variables are observed jointly in one single data set. Although the limiting normal distribution has been established, the asymptotic variance formula has only been stated explicitly in the literature for the case of conditional homoskedasticity. By using the fact that the TS2SLS estimator is a function of reduced form and first-stage OLS estimators, ...[more]

PMID: 27667880

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Project description:BackgroundDistance-based methods are popular for reconstructing evolutionary trees thanks to their speed and generality. A number of methods exist for estimating distances from sequence alignments, which often involves some sort of correction for multiple substitutions. The problem is to accurately estimate the number of true substitutions given an observed alignment. So far, the most accurate protein distance estimators have looked for the optimal matrix in a series of transition probability matrices, e.g. the Dayhoff series. The evolutionary distance between two aligned sequences is here estimated as the evolutionary distance of the optimal matrix. The optimal matrix can be found either by an iterative search for the Maximum Likelihood matrix, or by integration to find the Expected Distance. As a consequence, these methods are more complex to implement and computationally heavier than correction-based methods. Another problem is that the result may vary substantially depending on the evolutionary model used for the matrices. An ideal distance estimator should produce consistent and accurate distances independent of the evolutionary model used.ResultsWe propose a correction-based protein sequence estimator called Scoredist. It uses a logarithmic correction of observed divergence based on the alignment score according to the BLOSUM62 score matrix. We evaluated Scoredist and a number of optimal matrix methods using three evolutionary models for both training and testing Dayhoff, Jones-Taylor-Thornton, and Muller-Vingron, as well as Whelan and Goldman solely for testing. Test alignments with known distances between 0.01 and 2 substitutions per position (1-200 PAM) were simulated using ROSE. Scoredist proved as accurate as the optimal matrix methods, yet substantially more robust. When trained on one model but tested on another one, Scoredist was nearly always more accurate. The Jukes-Cantor and Kimura correction methods were also tested, but were substantially less accurate.ConclusionThe Scoredist distance estimator is fast to implement and run, and combines robustness with accuracy. Scoredist has been incorporated into the Belvu alignment viewer, which is available at ftp://ftp.cgb.ki.se/pub/prog/belvu/.

Dataset Information

Robust inference for the Two-Sample 2SLS estimator.

Publications

Robust inference for the Two-Sample 2SLS estimator.

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