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Applications of the Fast Double Bootstrap

Author

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  • James G. MacKinnon

    () (Queen's University)

Abstract

The fast double bootstrap, or FDB, is a procedure for calculating bootstrap P values that is much more computationally efficient than the double bootstrap itself. In many cases, it can provide more accurate results than ordinary bootstrap tests. For the fast double bootstrap to be valid, the test statistic must be asymptotically independent of the random parts of the bootstrap data generating process. This paper presents simulation evidence on the performance of FDB tests in three cases of interest to econometricians. One of the cases involves both symmetric and equal-tail bootstrap tests, which, interestingly, can have quite different power properties. Another highlights the importance of imposing the null hypothesis on the bootstrap DGP.

Suggested Citation

  • James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics.
  • Handle: RePEc:qed:wpaper:1023
    as

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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1023.pdf
    File Function: First version 2006
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    References listed on IDEAS

    as
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    4. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
    5. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
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    7. Donald W.K. Andrews & Marcelo J. Moreira & James H. Stock, 2004. "Optimal Invariant Similar Tests for Instrumental Variables Regression," Cowles Foundation Discussion Papers 1476, Cowles Foundation for Research in Economics, Yale University.
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    Cited by:

    1. 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.
    2. Richard, Patrick, 2009. "Modified fast double sieve bootstraps for ADF tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4490-4499, October.

    More about this item

    Keywords

    bootstrap test; serial correlation; ARCH errors; weak instruments; double bootstrap; fast double bootstrap; FDB;

    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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