2025/01/26 by Nathan Canen, Canen, Nathan, Kyungchul Song +1
Mathematics · #Econometrics (econ.EM) #FOS: Economics and business #Mathematical and Theoretical Analysis
paper · pdf · doi:10.48550/arxiv.2501.15692
openalex publication_date 2025/01/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In many applications, the parameter of interest involves a simplex-valued weight which is identified as a solution to an optimization problem. Examples include synthetic control methods with group-level weights and various methods of model averaging and forecast combinations. The simplex constraint on the weight poses a challenge in statistical inference due to the constraint potentially binding. In this paper, we propose a simple method of constructing a confidence set for the weight using an adaptive test based on the projection on a polyhedral cone and prove that the method is asymptotically uniformly valid. The procedure does not require tuning parameters or simulations to compute critical values. The confidence set accommodates both the cases of point-identification or set-identification of the weight. We illustrate the method with an empirical example.