SMU SOE Seminar (September 19, 2023): Bootstrap Inference in the Presence of Bias

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TOPIC:

BOOTSTRAP INFERENCE IN THE PRESENCE OF BIAS

ABSTRACT We consider bootstrap inference for estimators which are (asymptotically) biased. We show that, even when the bias term cannot be consistently estimated, valid inference can be obtained by proper implementations of the bootstrap. Specifically, we show that the prepivoting approach of Beran (1987, 1988), originally proposed to deliver higher-order refinements, restores bootstrap validity by transforming the original bootstrap p-value into an asymptotically uniform random variable. We propose two different implementations of prepivoting (plug-in and double bootstrap), and provide general high-level conditions that imply validity of bootstrap inference. To illustrate the practical relevance and implementation of our results, we discuss five examples: (i) inference on a target parameter based on model averaging; (ii) ridge-type regularized estimators; (iii) nonparametric regression; (iv) a location model for infinite variance data; and (v) dynamic panel data models. Click here to view the CV. Click here to view the paper.
		PRESENTER Morten Ørregaard Nielsen Aarhus University
		RESEARCH FIELDS Estimation and inference in fractional integration and cointegration models Financial econometrics and high frequency data Unit root and cointegration testing Cluster-robust inference Bootstrap theory and methods
		DATE: 19 September 2023 (Tuesday)
		TIME: 4pm - 5.30pm
		VENUE: Meeting Room 5.1, Level 5 School of Economics Singapore Management University 90 Stamford Road Singapore 178903

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