Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097238 | Journal of Econometrics | 2009 | 9 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Donald W.K. Andrews, Patrik Guggenberger,