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Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap

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Author Info

  • Russell Davidson

    () (McGill University)

  • James G. MacKinnon

    () (Queen's University)

Abstract

We first propose two procedures for estimating the rejection probabilities of bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive (per replication) as estimating rejection probabilities for asymptotic tests. We then propose a new procedure for computing bootstrap P values that will often be more accurate than ordinary ones. This "fast double bootstrap" is closely related to the double bootstrap, but it is far less computationally demanding. Simulation results for three different cases suggest that this procedure can be very useful in practice.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1044.pdf
File Function: First version 2006
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1044.

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Length: 34 pages
Date of creation: Mar 2006
Date of revision:
Publication status: forthcoming in Computational Statistics and Data Analysis
Handle: RePEc:qed:wpaper:1044

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Related research

Keywords: bootstrap test; double bootstrap; Monte Carlo experiment; rejection frequency; fast double bootstrap; FDB;

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References

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  1. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
  2. Davidson, James, 2006. "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 741-777, August.
  3. Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Joon Y. Park, 2000. "Bootstrap Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 1587, Econometric Society.
  5. Russell Davidson & James G. MacKinnon, 2004. "The Power of Bootstrap and Asymptotic Tests," Working Papers 1035, Queen's University, Department of Economics.
  6. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor and Francis Journals, vol. 19(1), pages 55-68.
  7. Jean-FranÁois Lamarche, 2004. "The Numerical Performance of Fast Bootstrap Procedures," Computational Economics, Society for Computational Economics, vol. 23(4), pages 379-389, 06.
  8. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Tests of Nonnested Linear Regression Models," ASSET - Instituto De Economia Publica 170, ASSET (Association of Southern European Economic Theorists).
  9. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
  10. Russell Davidson & James G. MacKinnon, 2000. "Improving the Reliability of Bootstrap Tests," Working Papers 995, Queen's University, Department of Economics.
  11. James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
  12. Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
  13. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
  14. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  15. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Testing in Nonlinear Models," G.R.E.Q.A.M. 97a39, Universite Aix-Marseille III.
  16. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics.
  17. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 419-429.
  18. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-21, May.
  19. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
  20. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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Citations

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Cited by:
  1. Richard, Patrick, 2009. "Modified fast double sieve bootstraps for ADF tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4490-4499, October.
  2. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.
  3. Christian Kascha & Carsten Trenkler, 2009. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Working Paper 2009/12, Norges Bank.
  4. Qian, Hang, 2011. "Sampling Variation, Monotone Instrumental Variables and the Bootstrap Bias Correction," MPRA Paper 32634, University Library of Munich, Germany.
  5. Chiu, Sung Nok & Wang, Ling, 2009. "Homogeneity tests for several Poisson populations," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4266-4278, October.
  6. Ahlgren, Niklas & Antell, Jan, 2006. "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series," Working Papers 519, Hanken School of Economics.
  7. Bolduc, Denis & Khalaf, Lynda & Moyneur, Érick, 2008. "Identification-robust simulation-based inference in joint discrete/continuous models for energy markets," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3148-3161, February.
  8. Cerrato, Mario & Sarantis, Nicholas, 2007. "A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4028-4037, May.
  9. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  10. Kleijnen, J.P.C., 2006. "White Noise Assumptions Revisited: Regression Models and Statistical Designs for Simulation Practice," Discussion Paper 2006-50, Tilburg University, Center for Economic Research.

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