Abstract
This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analysing behaviours of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize the situation where the implied probability bootstrap is more robust against outliers than the uniform weight bootstrap. Simulation studies illustrate our theoretical findings.
| Original language | English |
|---|---|
| Pages (from-to) | 32-55 |
| Number of pages | 24 |
| Journal | Econometrics Journal |
| Volume | 15 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2012 Feb 1 |
| Externally published | Yes |
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ASJC Scopus subject areas
- Economics and Econometrics
Cite this
Breakdown point theory for implied probability bootstrap. / Camponovo, Lorenzo; Otsu, Taisuke.
In: Econometrics Journal, Vol. 15, No. 1, 01.02.2012, p. 32-55.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Breakdown point theory for implied probability bootstrap
AU - Camponovo, Lorenzo
AU - Otsu, Taisuke
PY - 2012/2/1
Y1 - 2012/2/1
N2 - This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analysing behaviours of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize the situation where the implied probability bootstrap is more robust against outliers than the uniform weight bootstrap. Simulation studies illustrate our theoretical findings.
AB - This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analysing behaviours of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize the situation where the implied probability bootstrap is more robust against outliers than the uniform weight bootstrap. Simulation studies illustrate our theoretical findings.
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UR - http://www.scopus.com/inward/citedby.url?scp=84857091073&partnerID=8YFLogxK
U2 - 10.1111/j.1368-423X.2011.00365.x
DO - 10.1111/j.1368-423X.2011.00365.x
M3 - Article
AN - SCOPUS:84857091073
VL - 15
SP - 32
EP - 55
JO - Econometrics Journal
JF - Econometrics Journal
SN - 1368-4221
IS - 1
ER -