ROBUST INFERENCE FOR CONVEX PAIRWISE DIFFERENCE ESTIMATORS

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Authors: Matias D. Cattaneo, Michael Jansson, Kenichi Nagasawa
Cited by: 0
References: 36

Abstract

This article develops distribution theory and bootstrap-based inference methods for a broad class of convex pairwise difference estimators. These estimators minimize a kernel-weighted convex-in-parameter function over observation pairs with similar covariates, where the similarity is governed by a localization (bandwidth) parameter. While classical results establish asymptotic normality under restrictive bandwidth conditions, we show that valid Gaussian and bootstrap-based inference remains possible under substantially weaker assumptions. First, we extend the theory of small-bandwidth asymptotics to convex pairwise difference estimation settings, deriving robust Gaussian approximations even when a smaller-than-standard bandwidth is used. Second, we employ a debiasing procedure based on generalized jackknifing to enable inference with larger bandwidths, while preserving convexity of the objective function. Third, we construct a novel bootstrap method that adjusts for bandwidth-induced variance distortions, yielding valid inference across a wide range of bandwidth choices. Our proposed inference method enjoys demonstrably greater robustness, while retaining the practical appeal of convex pairwise difference estimators.

Fields of Study & Subjects

Statistical Methods and Inference

Publication details

Journal / source
Econometric Theory
Publisher
Cambridge University Press (CUP)
Pages
1–37
Publication date
23 July 2026
Language
EN