Improving the Reliability of Bootstrap Tests
AbstractWe first propose procedures for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive as estimating rejection probabilities for asymptotic tersts. We then propose procedures for computing modified bootstrap P values that will often be more accurate than ordinary ones. These procedures are closely related to the double bootstrap, but they are far less computationally demanding.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 995.
Length: 31 pages
Date of creation: Sep 2000
Date of revision:
Double Bootstrap; Monte Carlo; Specification Test; Bootstrap P Value; Bootstrap Test;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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