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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Publisher Info
Paper 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 Handle: RePEc:qed:wpaper:1036
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
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