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ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS

Donald Andrews () and Moshe Buchinsky ()

Econometric Theory, 2002, vol. 18, issue 4, 962-984

Abstract: This paper considers the problem of choosing the number of bootstrap repetitions B to use with the BCa bootstrap confidence intervals introduced by Efron (1987, Journal of the American Statistical Association 82, 171–200). Because the simulated random variables are ancillary, we seek a choice of B that yields a confidence interval that is close to the ideal bootstrap confidence interval for which B = ∞. We specify a three-step method of choosing B that ensures that the lower and upper lengths of the confidence interval deviate from those of the ideal bootstrap confidence interval by at most a small percentage with high probability.

Date: 2002
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Working Paper: On the Number of Bootstrap Repetitions for BC_a Confidence Intervals (2000) Downloads
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