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

  • Raffaella Giacomini,
  • Dimitris N. Politis
  • Halbert White

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

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File URL: http://www.cemmap.ac.uk/wps/cwp111212.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP11/12.

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Date of creation: May 2012
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Handle: RePEc:ifs:cemmap:11/12
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  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 117-28, January.
  2. 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.
  3. 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, 03.
  4. Russell Davidson & James Mackinnon, 2006. "Improving the reliability of bootstrap tests with the fast double bootstrap," Working Papers halshs-00439247, HAL.
  5. 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.
  6. 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.
  7. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
  8. 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.
  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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