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

DOI10.1016/j.jeconom.2009.02.001zbMath1431.62203MaRDI 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 selection; shrinkage estimator; subsampling; confidence set; asymptotic size; finite-sample size; subsample; \(m\) out of \(n\) bootstrap

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62G15: Nonparametric tolerance and confidence regions

62G09: Nonparametric statistical resampling methods

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