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Improving the reliability of bootstrap tests with the fast double bootstrap

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  • Russell Davidson

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • James Mackinnon

    (Department of Economics - Queen's University [Kingston, Canada])

Abstract

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.

Suggested Citation

  • Russell Davidson & James Mackinnon, 2006. "Improving the reliability of bootstrap tests with the fast double bootstrap," Working Papers halshs-00439247, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00439247
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00439247
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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