A simple bootstrap method for constructing nonparametric confidence bands for functions

Peter Hall and Joel L. Horowitz ()
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Peter Hall: Institute for Fiscal Studies
Joel L. Horowitz: Institute for Fiscal Studies and Northwestern University

No CWP14/12, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias, which generally is not estimated consistently when using the bootstrap and conventionally smoothed function estimators. To overcome this problem it is common practice to either undersmooth, so as to reduce the impact of bias, or oversmooth, and thereby introduce an explicit or implicit bias estimator. However, these approaches, and others based on nonstandard smoothing methods, complicate the process of inference, for example by requiring the choice of new, unconventional smoothing parameters and, in the case of undersmoothing, producing relatively wide bands. In this paper we suggest a new approach, which exploits to our advantage one of the difficulties that, in the past, has prevented an attractive solution to this problem - the fact that the standard bootstrap bias estimator suffers from relatively high-frequency stochastic error. The high frequency, together with a technique based on quantiles, can be exploited to dampen down the stochastic error term, leading to relatively narrow, simple-to-construct confidence bands.

Date: 2012-06-25
New Economics Papers: this item is included in nep-ecm
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