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On the Number of Bootstrap Repetitions for BC_a Confidence Intervals

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Author Info
Donald W.K. Andrews () (Cowles Foundation, Yale University)
Moshe Y. Buchinsky (Dept. Economcis, Brown University)

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Abstract

This paper considers the problem of choosing the number bootstrap repetitions B to use with the BC_{a} bootstrap confidence intervals introduced by Efron (1987). 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 = infinity. We specifiy 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://cowles.econ.yale.edu/P/cd/d12b/d1250.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1250.

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Length: 22 pages
Date of creation: Feb 2000
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Handle: RePEc:cwl:cwldpp:1250

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  1. 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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