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Improving the reliability of bootstrap tests with the fast double bootstrap

  • Davidson, Russell
  • MacKinnon, James G.

Two procedures are proposed for estimating the rejection probabilities of bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive (per replication) as estimating rejection probabilities for asymptotic tests. Then a new procedure is proposed for computing bootstrap P values that will often be more accurate than ordinary ones. This “fast double bootstrap” is closely related to the double bootstrap, but it is far less computationally demanding. Simulation results for three different cases suggest that the fast double bootstrap can be very useful in practice.

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2007)
Issue (Month): 7 (April)
Pages: 3259-3281

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Handle: RePEc:eee:csdana:v:51:y:2007:i:7:p:3259-3281
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Jean-FranÁois Lamarche, 2004. "The Numerical Performance of Fast Bootstrap Procedures," Computational Economics, Society for Computational Economics, vol. 23(4), pages 379-389, 06.
  2. Park, Joon, 2002. "Bootstrap Unit Root Tests," Working Papers 2003-04, Rice University, Department of Economics.
  3. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics.
  4. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, vol. 85(2), pages 205-230, 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. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  7. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
  8. Davidson, R. & Mackinnon, J. G., 1995. "Bootstrap Tests of Nonnested Linear Regression Models," G.R.E.Q.A.M. 97a25, Universite Aix-Marseille III.
  9. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
  10. Davidson, Russell & MacKinnon, James G, 1999. "Bootstrap Testing in Nonlinear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 487-508, May.
  11. Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
  12. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
  13. Russell Davidson & James G. MacKinnon, 2000. "Improving the Reliability of Bootstrap Tests," Working Papers 995, Queen's University, Department of Economics.
  14. Davidson, James, 2006. "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 741-777, August.
  15. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  16. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  17. Russell Davidson & James G. MacKinnon, 2004. "The Power of Bootstrap and Asymptotic Tests," Working Papers 1035, Queen's University, Department of Economics.
  18. Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
  19. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-21, May.
  20. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
  21. 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.
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