Simpler bootstrap estimation of the asymptotic variance of U-statistic-based estimators

IF 2.9 4区 经济学 Q1 ECONOMICS
Bo E. Honoré, Luojia Hu
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引用次数: 3

Abstract

The bootstrap is a popular and useful tool for estimating the asymptotic variance of complicated estimators. Ironically, the fact that the estimators are complicated can make the standard bootstrap computationally burdensome because it requires repeated re-calculation of the estimator. In Honore and Hu (2015), we propose a computationally simpler bootstrap procedure based on repeated re-calculation of one-dimensional estimators. The applicability of that approach is quite general. In this paper, we propose an alternative method which is specific to extremum estimators based on U-statistics. The contribution here is that rather than repeated re-calculating the U-statistic-based estimator, we can recalculate a related estimator based on single-sums. A simulation study suggests that the approach leads to a good approximation to the standard bootstrap, and that if this is the goal, then our approach is superior to numerical derivative methods.
U-统计估计量渐近方差的简单bootstrap估计
bootstrap是估计复杂估计量渐近方差的常用工具。具有讽刺意味的是,估计器很复杂这一事实可能会使标准bootstrap在计算上变得繁重,因为它需要重复重新计算估计器。在本文中,我们提出了一种基于U-统计量的极值估计方法。这里的贡献是,我们可以基于单个和重新计算相关的估计量,而不是重复重新计算基于U-统计的估计量。一项模拟研究表明,该方法可以很好地近似于标准bootstrap,如果这是目标,那么我们的方法优于数值导数方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Econometrics Journal
Econometrics Journal 管理科学-数学跨学科应用
CiteScore
4.20
自引率
5.30%
发文量
25
审稿时长
>12 weeks
期刊介绍: The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.
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