Improving the Reliability of Bootstrap Tests
We first propose procedures for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive as estimating rejection probabilities for asymptotic tersts. We then propose procedures for computing modified bootstrap P values that will often be more accurate than ordinary ones. These procedures are closely related to the double bootstrap, but they are far less computationally demanding.
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- Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
- Davidson, R. & Mackinnon, J.G., 1996.
"The Size Distorsion of Bootstrap Tests,"
96a15, Universite Aix-Marseille III.
- Davidson, Russell & MacKinnon, James G, 1999.
"Bootstrap Testing in Nonlinear Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 487-508, May.
- Russell Davidson & James G. MacKinnon, 1994.
"Graphical Methods for Investigating the Size and Power of Hypothesis Tests,"
903, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
- Davidson, Russell & MacKinnon, James G., 1984.
"Convenient specification tests for logit and probit models,"
Journal of Econometrics,
Elsevier, vol. 25(3), pages 241-262, July.
- Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
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