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Models as approximations. I. Consequences illustrated with linear regression. (English) Zbl 1440.62020
Summary: In the early 1980s, Halbert White inaugurated a “model-robust” form of statistical inference based on the “sandwich estimator” of standard error. This estimator is known to be “heteroskedasticity-consistent”, but it is less well known to be “nonlinearity-consistent” as well. Nonlinearity, however, raises fundamental issues because in its presence regressors are not ancillary, hence cannot be treated as fixed. The consequences are deep: (1) population slopes need to be reinterpreted as statistical functionals obtained from OLS fits to largely arbitrary joint \(x\)-\(y\) distributions; (2) the meaning of slope parameters needs to be rethought; (3) the regressor distribution affects the slope parameters; (4) randomness of the regressors becomes a source of sampling variability in slope estimates of order \(1/\sqrt{N}\); (5) inference needs to be based on model-robust standard errors, including sandwich estimators or the \(x\)-\(y\) bootstrap. In theory, model-robust and model-trusting standard errors can deviate by arbitrary magnitudes either way. In practice, significant deviations between them can be detected with a diagnostic test.
For Part II, see [Zbl 1440.62021].
Reviewer: Reviewer (Berlin)

MSC:
62A01 Foundations and philosophical topics in statistics
62J05 Linear regression; mixed models
62P20 Applications of statistics to economics
62F40 Bootstrap, jackknife and other resampling methods
62F35 Robustness and adaptive procedures (parametric inference)
Software:
bootstrap; R
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