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Cattaneo, Matias D., Jansson, Michael and Nagasawa, Kenichi (2020) Bootstrap-based inference for cube root asymptotics. Econometrica, 88 (5). pp. 2203-2219. doi:10.3982/ECTA17950
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WRAP-bootstrap-based-inference-cube-root-asymptotics-Nagasawa-2020.pdf - Accepted Version - Requires a PDF viewer. Download (833Kb) | Preview |
Official URL: https://doi.org/10.3982/ECTA17950
Abstract
This paper proposes a valid bootstrap‐based distributional approximation for M‐estimators exhibiting a Chernoff (1964)‐type limiting distribution. For estimators of this kind, the standard nonparametric bootstrap is inconsistent. The method proposed herein is based on the nonparametric bootstrap, but restores consistency by altering the shape of the criterion function defining the estimator whose distribution we seek to approximate. This modification leads to a generic and easy‐to‐implement resampling method for inference that is conceptually distinct from other available distributional approximations. We illustrate the applicability of our results with four examples in econometrics and machine learning.
| Item Type: | Journal Article | ||||||||||||||||||
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| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management | ||||||||||||||||||
| Divisions: | Faculty of Social Sciences > Economics | ||||||||||||||||||
| Library of Congress Subject Headings (LCSH): | Decision making -- Mathematical models, Bootstrap (Statistics), Estimation theory | ||||||||||||||||||
| Journal or Publication Title: | Econometrica | ||||||||||||||||||
| Publisher: | Blackwell Publishing | ||||||||||||||||||
| ISSN: | 0012-9682 | ||||||||||||||||||
| Official Date: | 25 September 2020 | ||||||||||||||||||
| Dates: |
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| Date of first compliant deposit: | 9 June 2020 | ||||||||||||||||||
| Volume: | 88 | ||||||||||||||||||
| Number: | 5 | ||||||||||||||||||
| Page Range: | pp. 2203-2219 | ||||||||||||||||||
| DOI: | 10.3982/ECTA17950 | ||||||||||||||||||
| Status: | Peer Reviewed | ||||||||||||||||||
| Publication Status: | Published | ||||||||||||||||||
| Publisher Statement: | The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org/. It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for-profit commercial firm or for other commercial purpose without the explicit permission of the Econometric Society. All other permission requests or questions (including commercial purposes or on behalf of any for-profit entity) should be addressed to: Wiley Permissions www.wiley.com/go/rightslicensing Then select Copyright & Permissions For requests for any content not containing a ‘request permission’ link please contact permissions@wiley.com . | ||||||||||||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||||||||||||
| RIOXX Funder/Project Grant: |
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