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The Numerical Performance of Fast Bootstrap Procedures

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  • Jean-FranÁois Lamarche

    (Department of Economics, Brock University, 500 Glenridge Avenue, St. Catharines, Ontario, Canada L2S 3A1)

Abstract

The numerical performance of faster ways to perform inference using the bootstrap are investigated. The bootstrap procedures are applied to tests for an unknown structural change and evaluated in a simulation environment. The simulation results indicate that these faster procedures work extremely well, and at a fraction of the computing costs. An empirical example illustrates the use of fast bootstrap procedures that, this time, can be implemented by the applied researcher.

Suggested Citation

  • Jean-FranÁois Lamarche, 2004. "The Numerical Performance of Fast Bootstrap Procedures," Computational Economics, Springer;Society for Computational Economics, vol. 23(4), pages 379-389, June.
    • Handle: RePEc:kap:compec:v:23:y:2004:i:4:p:379-389
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    Cited by:

    1. Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
    2. Davidson, Russell & Trokić, Mirza, 2020. "The fast iterated bootstrap," Journal of Econometrics, Elsevier, vol. 218(2), pages 451-475.
    3. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
    4. James G. MacKinnon, 2006. "Applications Of The Fast Double Bootstrap," Working Paper 1023, Economics Department, Queen's University.

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