Bootstrap Tests: How Many Bootstraps?

Russell Davidson and James MacKinnon

No 273506, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: In practice, bootstrap tests must use a finite number of bootstrap samples. This means that the outcome of the test will depend on the sequence of random numbers used to generate the bootstrap samples, and it necessarily results in some loss of power. We examine the extent of this power loss and propose a simple pretest procedure for choosing the number of bootstrap samples so as to minimize experimental randomness. Simulation experiments suggest that this procedure will work very well in practice.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 16
Date: 2001-03
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Related works:
Working Paper: Bootstrap Tests: How Many Bootstraps? (2001)
Journal Article: Bootstrap tests: how many bootstraps? (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273506

DOI: 10.22004/ag.econ.273506

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