Bootstrap Tests: How Many Bootstraps?
AbstractIn practice, bootstrap tests must use a finite number of bootstrap samples. This means that the outcome of the test will depend on the sequence of random numbers used to generate the bootstrap samples, and it necessarily results in some loss of power. We examine the extent of this power loss and propose a simple pretest procedure for choosing the number of bootstrap samples so as to minimize experimental randomness. Simulation experiments suggest that this procedure will work very well in practice.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 1036.
Length: 14 pages
Date of creation: Mar 2001
Date of revision:
Publication status: Published in Econometric Reviews, 19, 2000
bootstrap test; test power; pretest; bootstrap repetitions; bootstrap samples;
Other versions of this item:
- 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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- Jean-Marie Dufour & Jan F. Kiviet, 1998.
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- Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
- Donald W. K. Andrews & Moshe Buchinsky, 2000. "A Three-Step Method for Choosing the Number of Bootstrap Repetitions," Econometrica, Econometric Society, vol. 68(1), pages 23-52, January.
- Davidson, Russell & MacKinnon, James G., 1999.
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Cambridge University Press, vol. 15(03), pages 361-376, June.
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