Published

2010-07-01

EL PROBLEMA DEL TAMAÑO DE LOS CONTRASTES BOOTSTRAP CUANDO LA HIPÓTESIS NULA ES NO- O SEMIPARAMÉTRICA

THE SIZE PROBLEM OF BOOTSTRAP TESTS WHEN THE NULL IS NON- OR SEMIPARAMETRIC

Keywords:

ancho de banda, contrastes de especificación no-paramétricos, contrastes bootstrap (es)
Bandwidth choice, Bootstrap tests, Nonparametric specification tests (en)

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Authors

  • Jorge Barrientos-Marín Universidad de Antioquia
  • Stefan Sperlich Georg August Universität Göttingen
En contrastes no- y semiparamétricos el wild-bootstrap es un método estándar para la determinación de los valores críticos de los estadísticos de contrastes. Si la hipótesis nula es no o semiparamétrica, sabemos que al menos asintóticamente es necesaria una sobre-suavización en la pre-estimación del modelo bajo la nula para generar las muestras bootstrap, ver por ejemplo Hardle & Marron (1990, 1991). No obstante, en la práctica este conocimiento es de poca o ninguna ayuda. En este artículo, ponemos de manifiesto que el problema de la selección de la banda de suavidad para procedimientos de contraste puede ser muy serio. Como alternativa, discutimos brevemente la posibilidad de usar submuestras.
In non- and semiparametric testing, the wild bootstrap is a standard method for determining the critical values of tests. If the null hypothesis is also semi- or nonparametric, then we know that at least asymptotically oversmoothing is necessary in the pre-estimation of the null model for generating the bootstrap samples. See Hardle & Marron (1990, 1991). However, in practice this knowledge is of little help. In this note we highlight that this bandwidth choice problem can become quite serious. As an alternative, we briegly discuss the possibility of subsampling.1

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How to Cite

Barrientos-Marín, J., & Sperlich, S. (2010). THE SIZE PROBLEM OF BOOTSTRAP TESTS WHEN THE NULL IS NON- OR SEMIPARAMETRIC. Revista Colombiana De Estadística, 33(2), 307-319. https://revistas.unal.edu.co/index.php/estad/article/view/29878

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