Bootstrap Standard Error Estimates and Inference

Jinyong Hahn

doi:10.3982/ECTA17912

2021-01-01

PRE

Jinyong Hahn *

廖志鹏 (Zhipeng Liao)

DOI：10.3982/ECTA17912

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摘要

En 中文

自举的渐近证明通常采用自举分布弱收敛到某个极限分布的形式。理论文献认识到，弱收敛并不意味着自举二阶矩或自举方差作为渐近方差的估计量的一致性，但是这种担忧并不总是反映在应用实践中。我们通过证明这种常见的基于自举的标准误差实际上导致了潜在的保守推断，从而弥合了理论与实践之间的差距。

Keyword:

Asymptotic size control

bootstrap

standard error estimates

期刊

Econometrica

IF:

7.1

论文数:

3.0K

被引数:

4.3W

机构

University of California System

学者数:

37.5W

论文数: 33.7W

被引数: 6.6K

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