کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097238 | 1376577 | 2009 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
Subsampling and the m out of n bootstrap have been suggested in the literature as methods for carrying out inference based on post-model selection estimators and shrinkage estimators. In this paper we consider a subsampling confidence interval (CI) that is based on an estimator that can be viewed either as a post-model selection estimator that employs a consistent model selection procedure or as a super-efficient estimator. We show that the subsampling CI (of nominal level 1âα for any αâ(0,1)) has asymptotic confidence size (defined to be the limit of finite-sample size) equal to zero in a very simple regular model. The same result holds for the m out of n bootstrap provided m2/nâ0 and the observations are i.i.d. Similar zero-asymptotic-confidence-size results hold in more complicated models that are covered by the general results given in the paper and for super-efficient and shrinkage estimators that are not post-model selection estimators. Based on these results, subsampling and the m out of n bootstrap are not recommended for obtaining inference based on post-consistent model selection or shrinkage estimators.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 152, Issue 1, September 2009, Pages 19-27
Journal: Journal of Econometrics - Volume 152, Issue 1, September 2009, Pages 19-27
نویسندگان
Donald W.K. Andrews, Patrik Guggenberger,