Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators

DOI10.1016/j.jeconom.2009.02.001zbMath1431.62203OpenAlexW1979080646MaRDI QIDQ2628859

Donald W. K. Andrews, Patrik Guggenberger

Publication date: 18 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.02.001

zbMATH Keywords

model selectionshrinkage estimatorsubsamplingconfidence setasymptotic sizefinite-sample sizesubsample\(m\) out of \(n\) bootstrap

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

Related Items (13)

A recentred bootstrap procedure for constructing uniformly correct confidence sets under smooth function models ⋮ Dynamic treatment regimes: technical challenges and applications ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Robust inference on average treatment effects with possibly more covariates than observations ⋮ THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST ⋮ ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN ⋮ The impact of a Hausman pretest on the size of a hypothesis test: the panel data case ⋮ Hypothesis testing near singularities and boundaries ⋮ Investigation of parameter uncertainty in clustering using a Gaussian mixture model via jackknife, bootstrap and weighted likelihood bootstrap ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ Robust subsampling ⋮ Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities ⋮ Estimating unobserved individual heterogeneity using pairwise comparisons

Cites Work

• Applications of subsampling, hybrid, and size-correction methods
• On the asymptotic properties of the jackknife histogram
• Inference for identifiable parameters in partially identified econometric models
• Heteroscedasticity-robustness of jackknife variance estimators in linear models
• Estimated sampling distributions: The bootstrap and competitors
• Subsampling
• Large sample confidence regions based on subsamples under minimal assumptions
• A note on methods of restoring consistency to the bootstrap
• Replicate Histograms
• Bootstrap Model Selection
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
• ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
• Hybrid and Size-Corrected Subsampling Methods
• Bootstrap Sample Size in Nonregular Cases
• Uniform Inference in Autoregressive Models
• Testing Statistical Hypotheses
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

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