The Bootstrap and Edgeworth Expansion

Hall (1992) — The Bootstrap and Edgeworth Expansion

Result

Edgeworth expansions for the smooth function model; the studentized statistic's skewness term differs in sign and size from the non-studentized one, the standard explanation of small-$n$ under-coverage of plug-in Wald intervals.

Use

explains the measured sign flip of the studentized skew in O6.7 and the audit's replication; a bootstrap-$t$ correction is the standard remedy (out of the O6 study's scope).

Verification

record only (secondary); the studentized skewness discussion is cited to p. 76, section number unresolved.