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Inference via kernel smoothing of bootstrap P values

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Author Info

  • Jeff Racine

    ()
    (McMaster University)

  • James G. MacKinnon

    ()
    (Queen's University)

Abstract

Resampling methods such as the bootstrap are routinely used to estimate the finite-sample null distributions of a range of test statistics. We present a simple and tractable way to perform classical hypothesis tests based upon a kernel estimate of the CDF of the bootstrap statistics. This approach has a number of appealing features: i) it can perform well when the number of bootstraps is extremely small, ii) it is approximately exact, and iii) it can yield substantial power gains relative to the conventional approach. The proposed approach is likely to be useful when the statistic being bootstrapped is computationally expensive.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1054.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 1054.

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Length: 16 pages
Date of creation: Mar 2006
Date of revision:
Handle: RePEc:qed:wpaper:1054

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Keywords: resampling; Monte Carlo test; bootstrap test; percentiles; kernel; smoothing;

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  1. Jeff Racine & James G. MacKinnon, 2004. "Simulation-based Tests that Can Use Any Number of Simulations," Working Papers 1027, Queen's University, Department of Economics.
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Cited by:
  1. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  2. Downward, Paul & Lechner, Michael, 2013. "Heterogeneous sports participation and labour market outcomes in England," CEPR Discussion Papers 9701, C.E.P.R. Discussion Papers.
  3. Patrick Richard, 2010. "Kernel smoothing end of sample instability tests P values," Cahiers de recherche 10-19, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
  4. Pawlowski, Tim & Schüttoff, Ute & Downward, Paul & Lechner, Michael, 2014. "Children’s skill formation in less developed countries – The impact of sports participation," Economics Working Paper Series 1412, University of St. Gallen, School of Economics and Political Science.
  5. Huber, Martin & Mellace, Giovanni & Lechner, Michael, 2014. "Why do tougher caseworkers increase employment? The role of programme assignment as a causal mechanism," Economics Working Paper Series 1414, University of St. Gallen, School of Economics and Political Science.

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