CFDP 1793

Breakdown Point Theory for Implied Probability Bootstrap


Publication Date: April 2011

Pages: 14


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]