A note on bootstrap model selection criterion

We show that a bootstrap model selection criterion constructed by directly plugging-in a consistent estimator in place of the unknown parameter has a downward bias of amount roughly equivalent to the number of parameters in the approximating model. An example is provided to illustrate the points discussed.

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Year of publication:	1996
Authors:	Chung, Han-Yeong ; Lee, Kee-Won ; Koo, Ja-Yong
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 26.1996, 1, p. 35-41
Publisher:	Elsevier
Keywords:	Kullback-Leibler discrepancy Nonparametric bootstrap Parametric bootstrap

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223722