Computationally Efficient Double Bootstrap Variance Estimation
The double bootstrap provides a useful tool for bootstrapping approximately pivotal quantities by using an "inner" bootstrap loop to estimate the variance. When the estimators are computationally intensive, the double bootstrap may become infeasible. We propose the use of a new variance estimator for the nonparametric bootstrap which effectively removes the requirement to perform the inner loop of the double bootstrap. Simulation results indicate that the proposed estimator produce bootstrap-t confidence intervals with coverage accuracy which replicates the coverage accuracy for the standard double bootstrap.
|Date of creation:||Jan 1997|
|Date of revision:|
|Publication status:||Published in Computational Statistics & Data Analysis, 2000, pages 237-247.|
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- Karlsson, Sune & Löthgren, Mickael, 1997.
"Computationally Efficient Double Bootstrap Variance Estimation,"
SSE/EFI Working Paper Series in Economics and Finance
151, Stockholm School of Economics.
- Karlsson, Sune & Lothgren, Mickael, 2000. "Computationally efficient double bootstrap variance estimation," Computational Statistics & Data Analysis, Elsevier, vol. 33(3), pages 237-247, May.
- Vinod, H. D., 1995. "Double bootstrap for shrinkage estimators," Journal of Econometrics, Elsevier, vol. 68(2), pages 287-302, August.
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