Bootstrap Tests: How Many Bootstraps?
In practice, bootstrap tests must use a finite number of bootstrap samples. This means that the outcome of the test will depend on the sequence of random numbers used to generate the bootstrap samples, and it necessarily results in some loss of power. We examine the extent of this power loss and propose a simple pretest procedure for choosing the number of bootstrap samples so as to minimize experimental randomness. Simulation experiments suggest that this procedure will work very well in practice.
|Date of creation:||Mar 2001|
|Date of revision:|
|Publication status:||Published in Econometric Reviews, 19, 2000|
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Cahiers de recherche
9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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