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Inference via kernel smoothing of bootstrap P values

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  • Racine, Jeffrey S.
  • MacKinnon, James G.

Abstract

Resampling methods such as the bootstrap are routinely used to estimate the finite-sample null distributions of a range of test statistics. We present a simple and tractable way to perform classical hypothesis tests based upon a kernel estimate of the CDF of the bootstrap statistics. This approach has a number of appealing features: i) it can perform well when the number of bootstraps is extremely small, ii) it is approximately exact, and iii) it can yield substantial power gains relative to the conventional approach. The proposed approach is likely to be useful when the statistic being bootstrapped is computationally expensive.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4MGVRN2-1/2/0855a776587d868bb30d0196e2d44d65
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2007)
Issue (Month): 12 (August)
Pages: 5949-5957

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Handle: RePEc:eee:csdana:v:51:y:2007:i:12:p:5949-5957

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  1. Jeff Racine & James G. MacKinnon, 2004. "Simulation-based Tests that Can Use Any Number of Simulations," Working Papers 1027, Queen's University, Department of Economics.
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Cited by:
  1. Patrick Richard, 2010. "Kernel smoothing end of sample instability tests P values," Cahiers de recherche 10-19, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
  2. Lechner, Michael & Downward, Paul, 2013. "Heterogeneous sports participation and labour market outcomes in England," Economics Working Paper Series 1323, University of St. Gallen, School of Economics and Political Science.
  3. Pawlowski, Tim & Schüttoff, Ute & Downward, Paul & Lechner, Michael, 2014. "Children’s skill formation in less developed countries – The impact of sports participation," Economics Working Paper Series 1412, University of St. Gallen, School of Economics and Political Science.
  4. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  5. Huber, Martin & Mellace, Giovanni & Lechner, Michael, 2014. "Why do tougher caseworkers increase employment? The role of programme assignment as a causal mechanism," Economics Working Paper Series 1414, University of St. Gallen, School of Economics and Political Science.

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