The Size and Power of Bootstrap Tests

Russell Davidson and James MacKinnon ()

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than that of the corresponding asymptotic P value. We also show that, at least in the parametric case, the magnitude of the distorsion will depend on the shape of what we call the P value function. As regards the power of bootstrap tests, we show that the size-corrected power of a bootstrap test differs from that of the corresponding asymptotic test only by an amount of the same order magnitude as the size distortion, and of arbitrary sign.

Keywords: TESTS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C00 C10 C12 (search for similar items in EconPapers)
Date: Written
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Related works:
Working Paper: The Size and Power of Bootstrap Tests (1996)
Working Paper: The Size and Power of Bootstrap Tests (1997)
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