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- W4288016910 abstract "Asymptotic bootstrap validity is usually understood as consistency of the distribution of a bootstrap statistic, conditional on the data, for the unconditional limit distribution of a statistic of interest. From this perspective, randomness of the limit bootstrap measure is regarded as a failure of the bootstrap. We show that such limiting randomness does not necessarily invalidate bootstrap inference if validity is understood as control over the frequency of correct inferences in large samples. We first establish sufficient conditions for asymptotic bootstrap validity in cases where the unconditional limit distribution of a statistic can be obtained by averaging a (random) limiting bootstrap distribution. Further, we provide results ensuring the asymptotic validity of the bootstrap as a tool for conditional inference, the leading case being that where a bootstrap distribution estimates consistently a conditional (and thus, random) limit distribution of a statistic. We apply our framework to several inference problems in econometrics, including linear models with possibly non-stationary regressors, functional CUSUM statistics, conditional Kolmogorov-Smirnov specification tests, the `parameter on the boundary' problem and tests for constancy of parameters in dynamic econometric models." @default.
- W4288016910 created "2022-07-26" @default.
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- W4288016910 date "2019-11-28" @default.
- W4288016910 modified "2023-10-01" @default.
- W4288016910 title "Inference under random limit bootstrap measures" @default.
- W4288016910 doi "https://doi.org/10.48550/arxiv.1911.12779" @default.
- W4288016910 hasPublicationYear "2019" @default.
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