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ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS

Listed author(s):
  • Andrews, Donald W.K.
  • Buchinsky, Moshe

This paper considers the problem of choosing the number bootstrap repetitions B to use with the BC_{a} bootstrap confidence intervals introduced by Efron (1987). 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 = infinity. We specifiy 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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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 18 (2002)
Issue (Month): 04 (August)
Pages: 962-984

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Handle: RePEc:cup:etheor:v:18:y:2002:i:04:p:962-984_18
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