自助法标准误估计与推断

Bootstrap Standard Error Estimates and Inference

Econometrica · 2021
被引 29
人大 A+FT50ABS 4*

中文导读

指出自助法标准误在理论上可能导致保守推断,并弥合了理论(弱收敛不保证方差一致性)与应用实践之间的差距。

Abstract

Asymptotic justification of the bootstrap often takes the form of weak convergence of the bootstrap distribution to some limit distribution. Theoretical literature recognized that the weak convergence does not imply consistency of the bootstrap second moment or the bootstrap variance as an estimator of the asymptotic variance, but such concern is not always reflected in the applied practice. We bridge the gap between the theory and practice by showing that such common bootstrap based standard error in fact leads to a potentially conservative inference.

Bootstrap标准误渐近方差推断