A note on bootstrap model selection criterion

Han-Yeong Chung, Kee-Won Lee and Ja-Yong Koo

Statistics & Probability Letters, 1996, vol. 26, issue 1, 35-41

Abstract: We show that a bootstrap model selection criterion constructed by directly plugging-in a consistent estimator in place of the unknown parameter has a downward bias of amount roughly equivalent to the number of parameters in the approximating model. An example is provided to illustrate the points discussed.

Keywords: Kullback-Leibler; discrepancy; Nonparametric; bootstrap; Parametric; bootstrap (search for similar items in EconPapers)
Date: 1996
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