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Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities

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  • Donald W. K. Andrews
  • Sukjin Han

Abstract

This paper analyses the finite-sample and asymptotic properties of several bootstrap and m out of n bootstrap methods for constructing confidence interval (CI) endpoints in models defined by moment inequalities. In particular, we consider using these methods directly to construct CI endpoints. By considering two very simple models, the paper shows that neither the bootstrap nor the m out of n bootstrap is valid in finite samples or in a uniform asymptotic sense in general when applied directly to construct CI endpoints. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009

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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 12 (2009)
Issue (Month): s1 (01)
Pages: S172-S199

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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s172-s199

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Cited by:
  1. Federico Bugni & Ivan Canay & Xiaoxia Shi, 2014. "Inference for functions of partially identified parameters in moment inequality models," CeMMAP working papers CWP22/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761, Cowles Foundation for Research in Economics, Yale University.

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