ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP

Donald Andrews () and Patrik Guggenberger

Econometric Theory, 2010, vol. 26, issue 2, 426-468

Abstract: This paper considers inference based on a test statistic that has a limit distribution that is discontinuous in a parameter. The paper shows that subsampling and m out of n bootstrap tests based on such a test statistic often have asymptotic size—defined as the limit of exact size—that is greater than the nominal level of the tests. This is due to a lack of uniformity in the pointwise asymptotics. We determine precisely the asymptotic size of such tests under a general set of high-level conditions that are relatively easy to verify. The results show that the asymptotic size of subsampling and m out of n bootstrap tests is distorted in some examples but not in others.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:26:y:2010:i:02:p:426-468_10

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