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The Size Distorsion of Bootstrap Tests


  • Davidson, R.
  • Mackinnon, J.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.

Suggested Citation

  • Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
  • Handle: RePEc:fth:aixmeq:96a15

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    2. repec:cup:etheor:v:9:y:1993:i:1:p:62-80 is not listed on IDEAS
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other


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