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Bootstrap Tests: How Many Bootstraps?

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Author Info
Russell Davidson () (McGill University)
James G. MacKinnon () (Queen's University)

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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://www.econ.queensu.ca/working_papers/papers/qed_wp_1036.pdf
File Format: application/pdf
File Function: First version 2001
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Publisher 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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Related research
Keywords: bootstrap test; test power; pretest; bootstrap repetitions; bootstrap samples;

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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

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 66(1), pages 1-26, January.
    Other versions:
  2. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June. [Downloadable!]
    Other versions:
  3. 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.
    Other versions:
  4. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April. [Downloadable!] (restricted)
  5. G. S. Hongyi Li, 1996. "Bootstrapping time series models," Econometric Reviews, Taylor and Francis Journals, vol. 15(2), pages 115-158. [Downloadable!] (restricted)
  6. 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.
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