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The Size Distortion Of Bootstrap Tests

  • Davidson, Russell
  • MacKinnon, James G.

Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We provide a theoretical framework in which to study the size distorsions of bootstrap P values. We show that, in many circumstances, the size distorsion of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 15 (1999)
Issue (Month): 03 (June)
Pages: 361-376

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Handle: RePEc:cup:etheor:v:15:y:1999:i:03:p:361-376_15
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