THE SIZE DISTORTION OF BOOTSTRAP TESTS

Russell Davidson and James MacKinnon

Econometric Theory, 1999, vol. 15, issue 3, 361-376

Abstract: We provide a theoretical framework in which to study the accuracy of bootstrap P values, which may be based on a parametric or nonparametric bootstrap. In the parametric case, the accuracy of a bootstrap test will depend on the shape of what we call the critical value function. We show that, in many circumstances, the error in rejection probability of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test. We also propose a simulation method for estimating this error that requires the calculation of only two test statistics per replication.

Date: 1999
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Related works:
Working Paper: The Size Distortion of Bootstrap Tests (1996)
Working Paper: The Size Distorsion of Bootstrap Tests (1996)
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