The Size Distorsion of Bootstrap Tests

Russell Davidson and James MacKinnon

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

Abstract: Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We provide a theoretical framework in which to study the size distorsions of bootstrap P values. We show that, in many circumstances, the size distorsion of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test.

Keywords: TESTS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C10 C19 (search for similar items in EconPapers)
Pages: 26 pages
Date: 1996
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: THE SIZE DISTORTION OF BOOTSTRAP TESTS (1999)
Working Paper: The Size Distortion of Bootstrap Tests (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:96a15

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