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ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS

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Author Info
Andrews, Donald W.K.
Buchinsky, Moshe

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Abstract

This paper considers the problem of choosing the number of bootstrap repetitions B to use with the BCa bootstrap confidence intervals introduced by Efron (1987, Journal of the American Statistical Association 82, 171 200). Because the simulated random variables are ancillary, we seek a choice of B that yields a confidence interval that is close to the ideal bootstrap confidence interval for which B = . We specify a three-step method of choosing B that ensures that the lower and upper lengths of the confidence interval deviate from those of the ideal bootstrap confidence interval by at most a small percentage with high probability.

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File URL: http://journals.cambridge.org/abstract_S0266466602184088
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 18 (2002)
Issue (Month): 04 (August)
Pages: 962-984
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Handle: RePEc:cup:etheor:v:18:y:2002:i:04:p:962-984_18

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  1. Baghli, M. & Cahn, C. & Fraisse, H., 2006. "Is the Inflation-Output Nexus Asymmetric in the Euro Area?," Documents de Travail 140, Banque de France. [Downloadable!]
    Other versions:
  2. Andrés Carvajal, 2004. "BC Bootstrap Confidence Intervals for Random Effects Panel Data Models," INVESTIGACIÓN ECONÓMICA EN COLOMBIA 002061, FUNDACIÓN PONDO. [Downloadable!]
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This page was last updated on 2009-12-20.

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