Breakdown Point Theory for Implied Probability Bootstrap

Lorenzo Camponovo and Taisuke Otsu
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Taisuke Otsu: Cowles Foundation, Yale University, https://cowles.yale.edu/

No 1793, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize the situation where the implied probability bootstrap is more robust than the uniform weight bootstrap against outliers. Simulation studies illustrate our theoretical findings.

Keywords: Bootstrap; Breakdown point; GMM (search for similar items in EconPapers)
JEL-codes: C12 C21 C31 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2011-04
New Economics Papers: this item is included in nep-ecm
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