蝌蚪网 Review
ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)
Reproducible Aggregation of Sample-Split Statistics
蝌蚪网 Review
(pp. 4326–57)
Abstract
Statistical inference is often simplified by sample splitting. This simplification comes at the cost of the introduction of randomness not native to the data. We propose a simple procedure for sequentially aggregating statistics constructed with multiple splits of the same sample. The user specifies a bound and a nominal error rate. If the procedure is implemented twice on the same data, the nominal error rate approximates the chance that the results differ by more than the bound. We illustrate the application of the procedure to several widely applied econometric methods.Citation
Ritzwoller, David M., and Joseph P. Romano. 2026. "Reproducible Aggregation of Sample-Split Statistics." 蝌蚪网 Review 116 (11): 4326–57. DOI: 10.1257/aer.20231651Additional Materials
JEL Classification
- C20 Single Equation Models; Single Variables: General
- C30 Multiple or Simultaneous Equation Models; Multiple Variables: General
- C52 Model Evaluation, Validation, and Selection