Simulation-based Tests that Can Use Any Number of Simulations
AbstractConventional procedures for Monte Carlo and bootstrap tests require that B, the number of simulations, satisfy a specific relationship with the level of the test. Otherwise, a test that would instead be exact will either overreject or underreject for finite B. We present expressions for the rejection frequencies associated with existing procedures and propose a new procedure that yields exact Monte Carlo tests for any positive value of B. This procedure, which can also be used for bootstrap tests, is likely to be most useful when simulation is expensive.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 1027.
Length: 12 pages
Date of creation: Oct 2004
Date of revision:
resampling; Monte Carlo test; bootstrap test; percentiles; simulation;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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- Russell Davidson & James MacKinnon, 2000.
"Bootstrap tests: how many bootstraps?,"
Taylor & Francis Journals, vol. 19(1), pages 55-68.
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- James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
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