Hybrid and Size-Corrected Subsampling Methods

DOI10.3982/ECTA7015zbMath1176.62117MaRDI QIDQ3644911

Donald W. K. Andrews, Patrik Guggenberger

Publication date: 13 November 2009

Published in: Econometrica (Search for Journal in Brave)

zbMATH Keywords

model selectionconfidence intervalautoregressive modelexact sizeasymptotic sizehybrid testover-rejectionsubsampling testsubsample\(m\) out of \(n\) bootstrapsize-correction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (33)

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Cites Work

• On the asymptotic properties of the jackknife histogram
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• PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
• ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
• Bootstrap Sample Size in Nonregular Cases
• Uniform Inference in Autoregressive Models
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• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

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