ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP

B-Tier
Journal: Econometric Theory
Year: 2010
Volume: 26
Issue: 2
Pages: 426-468

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper considers inference based on a test statistic that has a limit distribution that is discontinuous in a parameter. The paper shows that subsampling and m out of n bootstrap tests based on such a test statistic often have asymptotic size—defined as the limit of exact size—that is greater than the nominal level of the tests. This is due to a lack of uniformity in the pointwise asymptotics. We determine precisely the asymptotic size of such tests under a general set of high-level conditions that are relatively easy to verify. The results show that the asymptotic size of subsampling and m out of n bootstrap tests is distorted in some examples but not in others.

Technical Details

RePEc Handle
repec:cup:etheor:v:26:y:2010:i:02:p:426-468_10
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24