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The Size and Power of Bootstrap Tests

  • Mackinnon, J-G

Bootstrap tests are tests for which the significance level is calculated by some sort of boostrap procedure, which may be parametric or nonparametric. We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than that of the correpondign asymptotic P value.

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Paper provided by ASSET (Association of Southern European Economic Theorists) in its series ASSET - Instituto De Economia Publica with number 153.

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Length: 3 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:inecpu:153
Contact details of provider: Postal: ASSET - Instituto De Economia Publica Facultad de Ciencias Economicas Y Empresariales . Avenida Lehendakari Aguirre, 83. 48015 Bilbao. Spain
Phone: + 33 - 4 91 14 07 70
Fax: + 33 - 4 91 90 02 27
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  1. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
  2. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November.
  3. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
  4. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 21(1), pages 133-154, January.
  5. Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 241-61, April.
  6. Davidson, Russell & MacKinnon, James G., 1992. "Regression-based methods for using control variates in Monte Carlo experiments," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 203-222.
  7. Davidson , R. & Mackinnon, J.G., 1985. "Implicit alternatives and the local power of test statistics," CORE Discussion Papers 1985025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Rothernberg, Thomas J, 1984. "Hypothesis Testing in Linear Models When the Error Covariance Matrix Is Nonscalar," Econometrica, Econometric Society, vol. 52(4), pages 827-42, July.
  9. Horowitz, J.L., 1995. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Working Papers 95-10, University of Iowa, Department of Economics.
  10. Weber, N. C., 1984. "On resampling techniques for regression models," Statistics & Probability Letters, Elsevier, vol. 2(5), pages 275-278, October.
  11. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  12. 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.
  13. J. L. Horowitz, 1995. "Bootstrap Methods In Econometrics: Theory And Numerical Performance," SFB 373 Discussion Papers 1995,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  14. Attfield, C. L. F., 1995. "A Bartlett adjustment to the likelihood ratio test for a system of equations," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 207-223.
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