Bootstrapping likelihood-ratio-type tests based on convex M-estimation

Patrice Bertail and Pascal Lavergne
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Patrice Bertail: Unknown
Pascal Lavergne: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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Abstract: We consider likelihood-ratio-type statistics for testing restrictions on parameters built from a convex M-estimation criterion. In general, these statistics are not asymptotically pivotal. We propose a general simple nonparametric bootstrap procedure that yields asymptotically valid critical and p-values. The method modifies the bootstrap objective function to mimic what happens under the null hypothesis. A Monte-Carlo study illustrates that our method controls level well and is powerful.

Date: 2026-09-10
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Published in Econometrics Journal, 2026, ⟨10.1093/ectj/utag031⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05788577

DOI: 10.1093/ectj/utag031

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