The Size and Power of Bootstrap Tests

Russell Davidson and James MacKinnon ()

Working Papers from Queen's University, Department of Economics

Abstract: Bootstrap Tests are for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric on non-parametric. 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 that of corresponding asymptotic P Value.

Keywords: tests; econometrics (search for similar items in EconPapers)
JEL-codes: C1 C10 (search for similar items in EconPapers)
Date: Written
View list of references View citations in EconPapers

Downloads: (external link)
http://www.econ.queensu.ca/working_papers/papers/qed_wp_932.pdf First version 1996 (application/pdf)

Related works:
Working Paper: The Size and Power of Bootstrap Tests (1996)
Working Paper: The Size and Power of Bootstrap Tests (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:932

Access Statistics for this paper

More papers in Working Papers from Queen's University, Department of Economics
Contact information at EDIRC.
Series data maintained by Mark Babcock ().