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Bootstrap Tests: How Many Bootstraps?

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Author Info
Russell Davidson
James G. MacKinnon

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Abstract

This paper discusses how to choose the number of bootstrap samples when performing bootstrap tests. There are two important issues that arise when the number of bootstraps is finite. One is bias in the estimation of bootstrap $P$ values or critical values, and the second is loss of power. We discuss an easy way to avoid bias and thus obtain exact tests if the underlying test statistic is pivotal. We also propose a simple pretest procedure for choosing the number of bootstrap samples so as to avoid power loss, and we illustrate its performance using sampling experiments.

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File URL: http://www.econ.queensu.ca/working_papers/papers/qed_wp_951.pdf
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File Function: First version 1997
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Publisher Info
Paper provided by Queen's University, Department of Economics in its series Working Papers with number 951.

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Date of creation: Sep 1997
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Publication status: Published in Econometric Reviews, 19, 2000
Handle: RePEc:qed:wpaper:951

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Related research
Keywords: Bootstrap testing; 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

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  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.
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  2. G. S. Hongyi Li, 1996. "Bootstrapping time series models," Econometric Reviews, Taylor and Francis Journals, vol. 15(2), pages 115-158. [Downloadable!] (restricted)
  3. 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.
  4. 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!]
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  5. 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.
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  6. 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)
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