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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 University College London)

  • 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.
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