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Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space

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Author Info
Donald W. K. Andrews

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Abstract

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 68 (2000)
Issue (Month): 2 (March)
Pages: 399-406
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Handle: RePEc:ecm:emetrp:v:68:y:2000:i:2:p:399-406

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  1. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1620, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  2. Brian Krauth, 2004. "Peer and selection effects on youth smoking in California," HEW 0408002, EconWPA. [Downloadable!]
    Other versions:
  3. Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO. [Downloadable!]
    Other versions:
  4. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian, 2004. "Structural Change and Forecasting Long-Run Energy Prices," Working Papers 04-5, Bank of Canada. [Downloadable!]
  5. David Brownstone & Robert Valletta, 2001. "The Bootstrap and Multiple Imputations: Harnessing Increased Computing Power for Improved Statistical Tests," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 129-141, Fall. [Downloadable!] (restricted)
  6. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
    Other versions:
  7. Donald W.K. Andrews & Sukjin Han, 2008. "Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1671, Cowles Foundation, Yale University. [Downloadable!]
  8. Christopher J. Bennett, 2009. "p-Value Adjustments for Asymptotic Control of the Generalized Familywise Error Rate," Working Papers 0905, Department of Economics, Vanderbilt University. [Downloadable!]
  9. Jörg Stoye, 2008. "More on confidence intervals for partially identified parameters," CeMMAP working papers CWP11/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  10. Donald W.K. Andrews & Patrik Guggenberger, 2007. "The Limit of Finite-Sample Size and a Problem with Subsampling," Cowles Foundation Discussion Papers 1605, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  11. Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  12. Djebbari, Habiba & Smith, Jeffrey A., 2008. "Heterogeneous Impacts in PROGRESA," IZA Discussion Papers 3362, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  13. Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Working Papers 0413, Florida International University, Department of Economics. [Downloadable!]
    Other versions:
  14. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009. "Hypothesis testing in econometrics," IEW - Working Papers iewwp444, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  15. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN. [Downloadable!]
    Other versions:
  16. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," NBER Technical Working Papers 0302, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  17. Lynda Khalaf & Maral Kichian, 2003. "Testing the Stability of the Canadian Phillips Curve Using Exact Methods," Working Papers 03-7, Bank of Canada. [Downloadable!]
  18. Mehmet Caner & Dan Berkowitz & Ying Fang, 2006. "Are Nearly Exogenous Instruments Reliable?," Working Papers 207, University of Pittsburgh, Department of Economics, revised Jan 2006. [Downloadable!]
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  19. Christian Holzner & Andrey Launov, 2005. "Search Equilibrium, Production Parameters and Social Returns to Education: Theory and Estimation," IZA Discussion Papers 1904, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  20. Tae-Hwan Kim & Douglas Stone & Halbert White, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series 2000-27, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
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