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Computationally efficient approximation for the double bootstrap mean bias correction

Author

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  • Rachida Ouysse

    () (The University of New South Wales)

Abstract

We propose a computationally efficient approximation for the double bootstrap bias adjustment factor without using the inner bootstrap loop. The approximation converges in probability to the population bias correction factor. We study the finite sample properties of the approximation in the context of a linear instrumental variable model. In identified versions of the model considered in our Monte Carlo experiments, the proposed approximation leads to estimators with lower variance than those based on the double bootstrap and, lower adjusted mean-squared error than estimators based on the single bootstrap. Evidence from the experiments we consider suggests that the bootstrap is less effective in reducing the bias when the instrumental variable is weak and endogeneity is strong.

Suggested Citation

  • Rachida Ouysse, 2011. "Computationally efficient approximation for the double bootstrap mean bias correction," Economics Bulletin, AccessEcon, vol. 31(3), pages 2388-2403.
  • Handle: RePEc:ebl:ecbull:eb-10-00284
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P214.pdf
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    References listed on IDEAS

    as
    1. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
    2. Davidson, Russell & MacKinnon, James G., 2002. "Bootstrap J tests of nonnested linear regression models," Journal of Econometrics, Elsevier, vol. 109(1), pages 167-193, July.
    3. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, vol. 85(2), pages 205-230, August.
    4. Alfonso Flores-Lagunes, 2007. "Finite sample evidence of IV estimators under weak instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 677-694.
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    More about this item

    Keywords

    Bias correction; bootstrap; double bootstrap; instrumental variable estimation; Monte Carlo simulation.;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C0 - Mathematical and Quantitative Methods - - General

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