Inference on functionals under first order degeneracy

DOI10.1016/J.JECONOM.2019.01.011zbMATH Open1452.62303arXiv1901.04861OpenAlexW3122707896WikidataQ128288979 ScholiaQ128288979MaRDI QIDQ2000838FDOQ2000838

Zheng Fang, Qihui Chen

Publication date: 1 July 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: This paper presents a unified second order asymptotic framework for conducting inference on parameters of the form $phi(het{a}_0)$, where $het{a}_0$ is unknown but can be estimated by $hathet{a}_n$, and $phi$ is a known map that admits null first order derivative at $het{a}_0$. For a large number of examples in the literature, the second order Delta method reveals a nondegenerate weak limit for the plug-in estimator $phi(hathet{a}_n)$. We show, however, that the `standard' bootstrap is consistent if and only if the second order derivative $ph{i}_{h^{″}et{a}_0}=0$ under regularity conditions, i.e., the standard bootstrap is inconsistent if $ph{i}_{h^{″}et{a}_0}eq0$, and provides degenerate limits unhelpful for inference otherwise. We thus identify a source of bootstrap failures distinct from that in Fang and Santos (2018) because the problem (of consistently bootstrapping a extit{nondegenerate} limit) persists even if $phi$ is differentiable. We show that the correction procedure in Babu (1984) can be extended to our general setup. Alternatively, a modified bootstrap is proposed when the map is extit{in addition} second order nondifferentiable. Both are shown to provide local size control under some conditions. As an illustration, we develop a test of common conditional heteroskedastic (CH) features, a setting with both degeneracy and nondifferentiability -- the latter is because the Jacobian matrix is degenerate at zero and we allow the existence of multiple common CH features.

Full work available at URL: https://arxiv.org/abs/1901.04861

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zbMATH Keywords

bootstrap consistency\(J\)-testBabu correctioncommon CH featuresfirst-order degeneracysecond-order delta method

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

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Cited In (7)

• Empirical Regularized Optimal Transport: Statistical Theory and Applications
• Minimax confidence intervals for the sliced Wasserstein distance
• Testing the eigenvalue structure of spot and integrated covariance
• Tie-Break Bootstrap for Nonparametric Rank Statistics
• Central limit theorems for entropy-regularized optimal transport on finite spaces and statistical applications
• Testing for time stochastic dominance
• Uniform inference for value functions

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