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Convolution without independence

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  • Susanne M. Schennach

Abstract

Widely used convolutions and deconvolutions techniques traditionally rely on the assumption of independence, an assumption often criticised as being very strong. We observe that independence is, in fact, not necessary for the convolution theorem to hold. Instead, a much weaker notion, known as subindependence, is the appropriate necessary and sufficient condition. We motivate the usefulness of the subindependence concept by showing that it is arguably as week as a conditional mean assumption. We also provide and devise a constructive method to generate pairs of subindependent random variables.

Suggested Citation

  • Susanne M. Schennach, 2013. "Convolution without independence," CeMMAP working papers 46/13, Institute for Fiscal Studies.
  • Handle: RePEc:azt:cemmap:46/13
    DOI: 10.1920/wp.cem.2013.4613
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    Cited by:

    1. Adusumilli, Karun & Kurisu, Daisuke & Otsu, Taisuke & Whang, Yoon-Jae, 2020. "Inference on distribution functions under measurement error," Journal of Econometrics, Elsevier, vol. 215(1), pages 131-164.
    2. Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2022. "Estimation of varying coefficient models with measurement error," Journal of Econometrics, Elsevier, vol. 230(2), pages 388-415.
    3. Botosaru, Irene, 2023. "Time-varying unobserved heterogeneity in earnings shocks," Journal of Econometrics, Elsevier, vol. 235(2), pages 1378-1393.
    4. Christian Gourieroux & Joann Jasiak, 2023. "Dynamic deconvolution and identification of independent autoregressive sources," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 151-180, March.
    5. Hao Dong & Taisuke Otsu & Luke Taylor, 2022. "Nonparametric estimation of additive models with errors-in-variables," Econometric Reviews, Taylor & Francis Journals, vol. 41(10), pages 1164-1204, November.
    6. Manuel Arellano & Stéphane Bonhomme, 2023. "Recovering Latent Variables by Matching," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 118(541), pages 693-706, January.
    7. Chen, Xiaohong & Linton, Oliver & Yi, Yanping, 2017. "Semiparametric identification of the bid–ask spread in extended Roll models," Journal of Econometrics, Elsevier, vol. 200(2), pages 312-325.
    8. Hao Dong & Daniel L. Millimet, 2020. "Propensity Score Weighting with Mismeasured Covariates: An Application to Two Financial Literacy Interventions," JRFM, MDPI, vol. 13(11), pages 1-24, November.
    9. Ben-Moshe, Dan, 2018. "Identification Of Joint Distributions In Dependent Factor Models," Econometric Theory, Cambridge University Press, vol. 34(1), pages 134-165, February.
    10. Kato, Kengo & Sasaki, Yuya, 2019. "Uniform confidence bands for nonparametric errors-in-variables regression," Journal of Econometrics, Elsevier, vol. 213(2), pages 516-555.
    11. Kato, Kengo & Sasaki, Yuya, 2018. "Uniform confidence bands in deconvolution with unknown error distribution," Journal of Econometrics, Elsevier, vol. 207(1), pages 129-161.
    12. Adusumilli, Karun & Kurisu, Daisies & Otsu, Taisuke & Whang, Yoon-Jae, 2020. "Inference on distribution functions under measurement error," LSE Research Online Documents on Economics 102692, London School of Economics and Political Science, LSE Library.
    13. Felt, Marie-Hélène, 2020. "On the identification of joint distributions using marginals and aggregates," Economics Letters, Elsevier, vol. 194(C).

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    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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