Augmented two-step estimating equations with nuisance functionals and complex survey data

TL;DR

This paper introduces an augmented estimating equations approach for complex survey data with nuisance functionals, achieving efficiency and invariance to first-step estimators, and establishing a Wilks' theorem under survey design.

Contribution

The paper develops a novel augmented estimating equations method that ensures efficiency and invariance in complex survey data analysis with nuisance functionals.

Findings

The proposed method achieves semiparametric efficiency bounds.

The generalized empirical likelihood Wilks' theorem holds under survey design.

Simulation and real data demonstrate improved inference accuracy.

Abstract

Statistical inference in the presence of nuisance functionals with complex survey data is an important topic in social and economic studies. The Gini index, Lorenz curves and quantile shares are among the commonly encountered examples. The nuisance functionals are usually handled by a plug-in nonparametric estimator and the main inferential procedure can be carried out through a two-step generalized empirical likelihood method. Unfortunately, the resulting inference is not efficient and the nonparametric version of the Wilks' theorem breaks down even under simple random sampling. We propose an augmented estimating equations method with nuisance functionals and complex surveys. The second-step augmented estimating functions obey the Neyman orthogonality condition and automatically handle the impact of the first-step plug-in estimator, and the resulting estimator of the main parameters of interest is invariant to the first step method. More importantly, the generalized empirical likelihood based Wilks' theorem holds for the main parameters of interest under the design-based framework for commonly used survey designs, and the maximum generalized empirical likelihood estimators achieve the semiparametric efficiency bound. Performances of the proposed methods are demonstrated through simulation studies and an application using the dataset from the New York City Social Indicators Survey.