Department of Economics and Business Economics

Bootstrapping density-weighted average derivatives

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  • Matias D. Cattaneo, University of Michigan, Ann Arbor, United States
  • Richard K. Crump, Capital Markets Function, Federal Reserve Bank of New York, United States
  • Michael Jansson

We investigate the properties of several bootstrap-based inference procedures for semiparametric density-weighted average derivatives. The key innovation in this paper is to employ an alternative asymptotic framework to assess the properties of these inference procedures. This theoretical approach is conceptually distinct from the traditional approach (based on asymptotic linearity of the estimator and Edgeworth expansions), and leads to different theoretical prescriptions for bootstrap-based semiparametric inference. First, we show that the conventional bootstrap-based approximations to the distribution of the estimator and its classical studentized version are both invalid in general. This result shows a fundamental lack of robustness of the associated, classical bootstrap-based inference procedures with respect to the bandwidth choice. Second, we present a new bootstrap-based inference procedure for density-weighted average derivatives that is more robust to perturbations of the bandwidth choice, and hence exhibits demonstrable superior theoretical statistical properties over the traditional bootstrap-based inference procedures. Finally, we also examine the validity and invalidity of related bootstrap-based inference procedures and discuss additional results that may be of independent interest. Some simulation evidence is also presented.

Original languageEnglish
JournalEconometric Theory
Pages (from-to)1135-1164
Number of pages30
Publication statusPublished - 1 Jan 2014

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