The fast iterated bootstrap

Russell Davidson and Mirza Trokić

Journal of Econometrics, 2020, vol. 218, issue 2, 451-475

Abstract: The standard forms of bootstrap iteration are very computationally demanding. As a result, there have been several attempts to alleviate the computational burden by use of approximations. In this paper, we extend the fast double bootstrap of Davidson and MacKinnon (2007) to higher orders of iteration, and provide algorithms for their implementation. The new methods make computational demands that increase only linearly with the level of iteration, unlike standard procedures, whose demands increase exponentially. In a series of simulation experiments, we show that the fast triple bootstrap improves on both the standard and fast double bootstraps, in the sense that it suffers from less size distortion under the null with no accompanying loss of power.

Keywords: Bootstrap iteration; Fast iterated bootstrap (search for similar items in EconPapers)
JEL-codes: C10 C12 C15 C63 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:218:y:2020:i:2:p:451-475

DOI: 10.1016/j.jeconom.2020.04.025

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