Asymptotic size and a problem with subsampling and with the m out of n bootstrap

DOI10.1017/S0266466609100051zbMATH Open1185.62044OpenAlexW2160958551MaRDI QIDQ3557548FDOQ3557548

Authors: Donald W. K. Andrews, Patrik Guggenberger 

Publication date: 23 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609100051

Recommendations

• On the uniform asymptotic validity of subsampling and the bootstrap
• Hybrid and Size-Corrected Subsampling Methods
• Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
• The bootstrap in hypothesis testing
• Applications of subsampling, hybrid, and size-correction methods

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Cites Work

• Linear Statistical Inference and its Applications
• Instrumental Variables Regression with Weak Instruments
• Testing Statistical Hypotheses
• Hybrid and Size-Corrected Subsampling Methods
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• The Nonexistence of Certain Statistical Procedures in Nonparametric Problems
• Estimation When a Parameter is on a Boundary
• Some asymptotic theory for the bootstrap
• Large sample confidence regions based on subsamples under minimal assumptions
• A note on proving that the (modified) bootstrap works
• Confidence Intervals for Partially Identified Parameters
• On preliminary test and shrinkage M-estimation in linear models
• PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
• Asymptotic properties of maximum likelihood estimators based on conditional specification
• Inference for identifiable parameters in partially identified econometric models
• On the asymptotic properties of the jackknife histogram
• Bootstrap of the mean in the infinite variance case
• Diagnosing bootstrap success
• The accuracy of the normal approximation for estimates of vector parameters
• The nonexistence of \(100(1-\alpha)\%\) confidence sets of finite expected diameter in errors-in-variables and related models
• On nondifferentiable functions and the bootstrap
• Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
• A note on methods of restoring consistency to the bootstrap
• Bootstrap Sample Size in Nonregular Cases
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• A New Method for Testing Separate Families of Hypotheses
• Bootstrap Model Selection
• On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix
• Uniform Inference in Autoregressive Models
• Uniform coverage bounds for confidence intervals and Berry-Esseen theorems for Edgeworth expansion
• Do Bootstrap Confidence Procedures Behave Well Uniformly in P?
• Correction to: Bootstrap tests and confidence regions for functions of a covariance matrix
• Inference when a nuisance parameter is weakly identified under the null hypothesis
• Heteroscedasticity-robustness of jackknife variance estimators in linear models

Cited In (53)

• Statistical plasmode simulations-potentials, challenges and recommendations
• Uniform inference for value functions
• A method of moments approach to asymptotically unbiased synthetic controls
• An averaging estimator for two-step m-estimation in semiparametric models
• Applications of subsampling, hybrid, and size-correction methods
• The impact of a Hausman pretest on the asymptotic size of a hypothesis test
• Subsampling to Enhance Efficiency in Input Uncertainty Quantification
• Jackknife empirical likelihood for inequality constraints on regular functionals
• On asymptotic size distortions in the random coefficients logit model
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• GMM estimation and uniform subvector inference with possible identification failure
• Subvector inference when the true parameter vector may be near or at the boundary
• Inference on functionals under first order degeneracy
• Testing regression coefficients after model selection through sign restrictions
• INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
• Refinements of the Kiefer-Wolfowitz theorem and a test of concavity
• Bonferroni-based size-correction for nonstandard testing problems
• An improved bootstrap test for restricted stochastic dominance
• Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
• Bootstrap validity for the score test when instruments may be weak
• Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
• A recentred bootstrap procedure for constructing uniformly correct confidence sets under smooth function models
• Robust subsampling
• Hybrid and Size-Corrected Subsampling Methods
• Asymptotically exact inference in conditional moment inequality~models
• EL inference for partially identified models: large deviations optimality and bootstrap validity
• Generic results for establishing the asymptotic size of confidence sets and tests
• Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model
• Hypothesis testing near singularities and boundaries
• Second order expansion of the \(T\)-statistic in AR(1) models
• A note on the coverage behaviour of bootstrap percentile confidence intervals for constrained parameters
• Robust inference in nonlinear models with mixed identification strength
• Wald, QLR, and score tests when parameters are subject to linear inequality constraints
• Pre and post break parameter inference
• The validity of instruments revisited
• Bootstrap inference for a class of non-regular estimators
• Robust forecast comparison
• Bootstrap adjusted predictive classification for identification of subgroups with differential treatment effects under generalized linear models
• Sharp bounds on the distribution of treatment effects and their statistical inference
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• On the uniform asymptotic validity of subsampling and the bootstrap
• Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information
• Global identifiability of linear structural equation models
• The impact of a Hausman pretest on the size of a hypothesis test: the panel data case
• Bahadur intercept with applications to one-sided testing
• Maximum likelihood estimation of stochastic frontier models with endogeneity
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
• CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS
• An improved bootstrap test of stochastic dominance
• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

This page was built for publication: Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3557548)