Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities
AbstractThis paper analyzes 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. In contrast, other results in the literature show that other ways of applying the bootstrap, m out of n bootstrap, and subsampling do lead to uniformly asymptotically valid confidence sets in moment inequality models. Thus, the uniform asymptotic validity of resampling methods in moment inequality models depends on the way in which the resampling methods are employed.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1671.
Length: 23 pages
Date of creation: Jul 2008
Date of revision:
Publication status: Published in Econometrics Journal (2009), 12: S172-S199
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Find related papers by JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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