Bootstrap Standard Error Estimates and Inference. Issue 4 (26th July 2021)

• Record Type: Journal Article
• Authors: Hahn, Jinyong; Liao, Zhipeng
• Is Part Of: Econometrica. Volume 89:Issue 4(2021)
• Page Start: 1963
• Page End: 1977
• Publication Date: 2021-07-26
• Subjects: Asymptotic size control -- bootstrap -- standard error estimates; Econometrics -- Periodicals; Economics, Mathematical -- Periodicals; Economics -- Periodicals; Économétrie -- Périodiques; Mathématiques économiques -- Périodiques; Économie politique -- Périodiques; 330.05
• DOI: 10.3982/ECTA17912
• Languages: English
• ISSNs: 0012-9682

Abstract

Abstract : Asymptotic justification of the bootstrap often takes the form of weak convergence of the bootstrap distribution to some limit distribution. Theoretical literature recognized that the weak convergence does not imply consistency of the bootstrap second moment or the bootstrap variance as an estimator of the asymptotic variance, but such concern is not always reflected in the applied practice. We bridge the gap between the theory and practice by showing that such common bootstrap based standard error in fact leads to a potentially conservative inference.