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Improving the Reliability of Bootstrap Tests

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Author Info

  • Russell Davidson

    ()
    (GREQAM and Queen's University)

  • James G. MacKinnon

    ()
    (Queen's University)

Abstract

We 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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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_995.pdf
File Function: First version 2000
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 995.

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Length: 31 pages
Date of creation: Sep 2000
Date of revision:
Handle: RePEc:qed:wpaper:995

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Related research

Keywords: Double Bootstrap; Monte Carlo; Specification Test; Bootstrap P Value; Bootstrap Test;

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References

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  1. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Testing in Nonlinear Models," G.R.E.Q.A.M. 97a39, Universite Aix-Marseille III.
  2. Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
  3. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics.
  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.
  5. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
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Citations

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Cited by:
  1. Russell Davidson & James Mackinnon, 2006. "Improving the reliability of bootstrap tests with the fast double bootstrap," Working Papers halshs-00439247, HAL.
  2. Stefano Fachin & Andrea Gavosto, 2010. "Trends of labour productivity in Italy: a study with panel co-integration methods," International Journal of Manpower, Emerald Group Publishing, vol. 31(7), pages 755-769, November.
  3. Stefano Fachin, 2007. "Long-run trends in internal migrations in italy: a study in panel cointegration with dependent units," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 401-428.
  4. Davidson, James, 2006. "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 741-777, August.
  5. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 419-429.
  6. Brücker, Herbert & Fachin, Stefano & Venturini, Alessandra, 2011. "Do foreigners replace native immigrants? A panel cointegration analysis of internal migration in Italy," Economic Modelling, Elsevier, vol. 28(3), pages 1078-1089, May.
  7. Basher, Syed A. & Fachin, Stefano, 2008. "The long-term decline of internal migration in Canada – Ontario as a case study," MPRA Paper 6685, University Library of Munich, Germany.
  8. 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.
  9. Psaradakis, Zacharias, 2006. "Blockwise bootstrap testing for stationarity," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 562-570, March.

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