This paper studies robustness of bootstrap inference methods for instrumental variable (IV) regression models. We consider test statistics for parameter hypotheses based on the IV estimator and generalized method of trimmed moments (GMTM) estimator introduced by Čížek (2008, 2009), and compare...

Baggerly (1998) showed that empirical likelihood is the only member in the Cressie-Read power divergence family to be Bartlett correctable. This paper strengthens Baggerly's result by showing that in a generalized class of the power divergence family, which includes the Cressie-Read family...

This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimmed moments (GMTM) estimator introduced by Cížek (2008, 2009),and compare...

Baggerly (1998) showed that empirical likelihood is the only member in the Cressie–Read power divergence family to be Bartlett correctable. This paper strengthens Baggerly’s result by showing that in a generalized class of the power divergence family, which includes the Cressie–Read family...

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses...

This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points...

We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empirical likelihood and Pearson's chi-square as special cases, is not...

This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimmed moments (GMTM) estimator introduced by Cížek (2008, 2009),and compare...

We compute the breakdown point of the subsampling quantile of a general statistic, and show that it is increasing in the subsampling block size and the breakdown point of the statistic. These results imply fragile subsampling quantiles for moderate block sizes, also when subsampling procedures...