Improving the Reliability of Bootstrap Tests

Russell Davidson () and James MacKinnon ()
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Russell Davidson: GREQAM and Queen's University

No 995, Working Papers from Queen's University, Department of Economics

Abstract: 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.

Keywords: Double Bootstrap; Monte Carlo; Specification Test; Bootstrap P Value; Bootstrap Test (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2000-09
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Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:995

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