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Bootstrap Tests: How Many Bootstraps?

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  • Russell Davidson

    ()
    (McGill University)

  • James G. MacKinnon

    ()
    (Queen's University)

Abstract

In 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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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1036.pdf
File Function: First version 2001
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1036.

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Length: 14 pages
Date of creation: Mar 2001
Date of revision:
Publication status: Published in Econometric Reviews, 19, 2000
Handle: RePEc:qed:wpaper:1036

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Keywords: bootstrap test; test power; pretest; bootstrap repetitions; bootstrap samples;

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  1. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
  2. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
  3. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  4. 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.
  5. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
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