Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators

Journal of Econometrics

Volumn 152, Issue 1, 2009, Pages 19-27

  Andrews, Donald W K ^a   Guggenberger, Patrik ^b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asymptotic size; Confidence set; Finite sample size; m out of n bootstrap; Model selection; Shrinkage estimator; Subsample; Subsampling

Indexed keywords

ASYMPTOTIC SIZE; CONFIDENCE SET; FINITE-SAMPLE SIZE; M OUT OF N BOOTSTRAP; MODEL SELECTION; SHRINKAGE ESTIMATOR; SUBSAMPLE; SUBSAMPLING;

ASYMPTOTIC ANALYSIS; SHRINKAGE;

ESTIMATION;

EID: 65949110625     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.02.001     Document Type: Article

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