Tie the Straps: Uniform Bootstrap Confidence Bands for Bounded Influence Curve Estimators

SFB 649 Discussion Paper 2013-047

33 Pages Posted: 5 Jan 2017

See all articles by Wolfgang K. Härdle

Wolfgang K. Härdle

Humboldt University of Berlin - Institute for Statistics and Econometrics; Xiamen University - Wang Yanan Institute for Studies in Economics (WISE); Charles University; Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Ya'acov Ritov

Hebrew University of Jerusalem

Weining Wang

Humboldt University of Berlin

Date Written: October 28, 2013

Abstract

We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error distributions and further extension to the quantile regression framework. Our bootstrap method can be used in many situations like constructing confidence intervals and bands. We demonstrate the bootstrap improvement over the asymptotic band theoretically, and also in simulations and in applications to firm expenditures and the interaction of economic sectors and the stock market.

Keywords: Nonparametric Regression, Bootstrap, Quantile Regression, Confidence Bands, Additive Model, Robust Statistics

JEL Classification: C00, C14

Suggested Citation

Härdle, Wolfgang K. and Ritov, Ya'acov and Wang, Weining, Tie the Straps: Uniform Bootstrap Confidence Bands for Bounded Influence Curve Estimators (October 28, 2013). SFB 649 Discussion Paper 2013-047. Available at SSRN: https://ssrn.com/abstract=2892626 or http://dx.doi.org/10.2139/ssrn.2892626

Wolfgang K. Härdle (Contact Author)

Humboldt University of Berlin - Institute for Statistics and Econometrics ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) ( email )

A 307, Economics Building
Xiamen, Fujian 10246
China

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Unter den Linden 6
Berlin, D-10099
Germany

Ya'acov Ritov

Hebrew University of Jerusalem ( email )

Mount Scopus
Jerusalem, IL Jerusalem 91905
Israel

Weining Wang

Humboldt University of Berlin ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

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