This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analyzing behaviors 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 than the uniform weight bootstrap against outliers. Simulation studies illustrate our theoretical ﬁndings.
Bootstrap, Breakdown point, GMM
JEL Classification Codes: C12, C21, C31
Published in Econometrics Journal (February 2012), 15(1): 32-55 [DOI]