IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators

  • Andrews, Donald W.K.
  • Guggenberger, Patrik

Subsampling and the m out of n bootstrap have been suggested in the literature as methods for carrying out inference based on post-model selection estimators and shrinkage estimators. In this paper we consider a subsampling confidence interval (CI) that is based on an estimator that can be viewed either as a post-model selection estimator that employs a consistent model selection procedure or as a super-efficient estimator. We show that the subsampling CI (of nominal level 1-[alpha] for any [alpha][set membership, variant](0,1)) has asymptotic confidence size (defined to be the limit of finite-sample size) equal to zero in a very simple regular model. The same result holds for the m out of n bootstrap provided m2/n-->0 and the observations are i.i.d. Similar zero-asymptotic-confidence-size results hold in more complicated models that are covered by the general results given in the paper and for super-efficient and shrinkage estimators that are not post-model selection estimators. Based on these results, subsampling and the m out of n bootstrap are not recommended for obtaining inference based on post-consistent model selection or shrinkage estimators.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 152 (2009)
Issue (Month): 1 (September)
Pages: 19-27

in new window

Handle: RePEc:eee:econom:v:152:y:2009:i:1:p:19-27
Contact details of provider: Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:152:y:2009:i:1:p:19-27. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.