Reproducible Aggregation of Sample-Split Statistics

David M. Ritzwoller and Joseph P. Romano

Papers from arXiv.org

Abstract: Statistical inference is often simplified by sample-splitting. This simplification comes at the cost of the introduction of randomness not native to the data. We propose a simple procedure for sequentially aggregating statistics constructed with multiple splits of the same sample. The user specifies a bound and a nominal error rate. If the procedure is implemented twice on the same data, the nominal error rate approximates the chance that the results differ by more than the bound. We illustrate the application of the procedure to several widely applied econometric methods.

Date: 2023-11, Revised 2024-11
New Economics Papers: this item is included in nep-ecm
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