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ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS

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  • Andrews, Donald W.K.
  • Buchinsky, Moshe

Abstract

This paper considers the problem of choosing the number of bootstrap repetitions B to use with the BCa bootstrap confidence intervals introduced by Efron (1987, Journal of the American Statistical Association 82, 171–200). Because the simulated random variables are ancillary, we seek a choice of B that yields a confidence interval that is close to the ideal bootstrap confidence interval for which B = ∞. We specify a three-step method of choosing B that ensures that the lower and upper lengths of the confidence interval deviate from those of the ideal bootstrap confidence interval by at most a small percentage with high probability.

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  • Andrews, Donald W.K. & Buchinsky, Moshe, 2002. "ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS," Econometric Theory, Cambridge University Press, vol. 18(4), pages 962-984, August.
    • Handle: RePEc:cup:etheor:v:18:y:2002:i:04:p:962-984_18
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    1. > Econometrics > Econometric Theory > Bootstrap Methods

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    Cited by:

    1. Dreßler, Daniel, 2012. "Form follows function? Evidence on tax savings by multinational holding structures," ZEW Discussion Papers 12-057, ZEW - Leibniz Centre for European Economic Research.
    2. Guastella, G. & Moro, D. & Sckokai, P. & Veneziani, M., 2013. "CAP Effects on Agricultural Investment Demand in Europe," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150619, Agricultural and Applied Economics Association.
    3. Guastella, Giovanni & Moro, Daniele & Sckokai, Paolo & Veneziani, Mario, 2013. "Investment behaviour of EU arable crop farms in selected EU countries and the impact of policy reforms," Working papers 152083, Factor Markets, Centre for European Policy Studies.
    4. Baghli, Mustapha & Cahn, Christophe & Fraisse, Henri, 2007. "Is the inflation-output Nexus asymmetric in the Euro area?," Economics Letters, Elsevier, vol. 94(1), pages 1-6, January.
    5. Diane L. Evans & Lawrence M. Leemis & John H. Drew, 2006. "The Distribution of Order Statistics for Discrete Random Variables with Applications to Bootstrapping," INFORMS Journal on Computing, INFORMS, vol. 18(1), pages 19-30, February.
    6. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    7. Andrews, Donald W. K. & Buchinsky, Moshe, 2001. "Evaluation of a three-step method for choosing the number of bootstrap repetitions," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 345-386, July.
    8. Streukens, Sandra & Leroi-Werelds, Sara, 2016. "Bootstrapping and PLS-SEM: A step-by-step guide to get more out of your bootstrap results," European Management Journal, Elsevier, vol. 34(6), pages 618-632.
    9. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle," IJFS, MDPI, vol. 2(1), pages 1-22, March.

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