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...

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to quantify their quantile breakdown point. For the block bootstrap and the sub- sampling, we find a very low quantile breakdown point. A similar robustness problem arises in relation to...

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...

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even when they are applied to robust...

We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular, we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso...

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...