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A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Author

Listed:
  • Raffaella Giacomini

    (Institute for Fiscal Studies and cemmap and UCL)

  • Dimitris N. Politis

    (Institute for Fiscal Studies)

  • Halbert White

    (Institute for Fiscal Studies)

Abstract

We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions.

Suggested Citation

  • Raffaella Giacomini & Dimitris N. Politis & Halbert White, 2012. "A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators," CeMMAP working papers CWP11/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  • Handle: RePEc:ifs:cemmap:11/12
    as

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    File URL: http://www.cemmap.ac.uk/wps/cwp111212.pdf
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    References listed on IDEAS

    as
    1. Kim, Jae H, 2001. "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 117-128, January.
    2. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Generalized spectral tests for the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 134(1), pages 151-185, September.
    3. 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.
    4. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.
    5. Dimitris N. Politis & Joseph P. Romano & Michael Wolf, 2004. "Inference for Autocorrelations in the Possible Presence of a Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 251-263, March.
    6. Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, vol. 69(3), pages 299-307, December.
    7. Chen, Xiaoheng & Conley, Timothy G., 2001. "A new semiparametric spatial model for panel time series," Journal of Econometrics, Elsevier, vol. 105(1), pages 59-83, November.
    8. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
    9. Canepa, Alessandra, 2006. "Small sample corrections for linear restrictions on cointegrating vectors: A Monte Carlo comparison," Economics Letters, Elsevier, vol. 91(3), pages 330-336, June.
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