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A Three-Step Method for Choosing the Number of Bootstrap Repetitions

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Author Info
Donald W. K. Andrews
Moshe Buchinsky

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Abstract

This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, confidence regions, hypothesis tests, p-values, and bias correction. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate, confidence interval length, test's critical value, test's p-value, or bias-corrected estimate based on B bootstrap simulations from the corresponding ideal bootstrap quantities for which B = infinity. The results apply to parametric, semiparametric, and nonparametric models with independent or dependent data.

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 68 (2000)
Issue (Month): 1 (January)
Pages: 23-52
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Handle: RePEc:ecm:emetrp:v:68:y:2000:i:1:p:23-52

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