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Simulation-based Tests That Can Use Any Number Of Simulations


  • James G. MacKinnon

    () (Queen's University)

  • Jeff Racine

    (McMaster University)


Conventional procedures for Monte Carlo and bootstrap tests require that B, the number of simulations, satisfy a specific relationship with the level of the test. Otherwise, a test that would instead be exact will either overreject or underreject for finite B. We present expressions for the rejection frequencies associated with existing procedures and propose a new procedure that yields exact Monte Carlo tests for any positive value of B. This procedure, which can also be used for bootstrap tests, is likely to be most useful when simulation is expensive.

Suggested Citation

  • James G. MacKinnon & Jeff Racine, 2004. "Simulation-based Tests That Can Use Any Number Of Simulations," Working Paper 1027, Economics Department, Queen's University.
  • Handle: RePEc:qed:wpaper:1027

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    References listed on IDEAS

    1. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
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    Cited by:

    1. James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
    2. repec:taf:japsta:v:45:y:2018:i:1:p:100-111 is not listed on IDEAS
    3. Rand Wilcox & Florence Clark, 2014. "Comparing robust regression lines associated with two dependent groups when there is heteroscedasticity," Computational Statistics, Springer, vol. 29(5), pages 1175-1186, October.
    4. JAMES G. MacKINNON, 2006. "Bootstrap Methods in Econometrics," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages 2-18, September.
    5. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Paper 1127, Economics Department, Queen's University.
    6. Racine, Jeffrey S. & MacKinnon, James G., 2007. "Inference via kernel smoothing of bootstrap P values," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5949-5957, August.
    7. Francisco J. Ruge-Murcia, 2013. "Generalized Method of Moments estimation of DSGE models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 20, pages 464-485, Edward Elgar Publishing.

    More about this item


    resampling; Monte Carlo test; bootstrap test; percentiles;

    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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