Breakdown point theory for implied probability bootstrap
Version of Record online: 16 FEB 2012
© 2012 The Author(s). The Econometrics Journal © 2012 Royal Economic Society.
The Econometrics Journal
Volume 15, Issue 1, pages 32–55, February 2012
How to Cite
Camponovo, L. and Otsu, T. (2012), Breakdown point theory for implied probability bootstrap. The Econometrics Journal, 15: 32–55. doi: 10.1111/j.1368-423X.2011.00365.x
- Issue online: 16 FEB 2012
- Version of Record online: 16 FEB 2012
- First version received: December 2010; final version accepted: November 2011
Summary This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analysing behaviours of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize the situation where the implied probability bootstrap is more robust against outliers than the uniform weight bootstrap. Simulation studies illustrate our theoretical findings.