Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap

Russell Davidson and James MacKinnon

No 273514, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: We first propose two procedures for estimating the rejection probabilities of bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive (per replication) as estimating rejection probabilities for asymptotic tests. We then propose a new procedure for computing bootstrap P values that will often be more accurate than ordinary ones. This “fast double bootstrap” is closely related to the double bootstrap, but it is far less computationally demanding. Simulation results for three different cases suggest that this procedure can be very useful in practice.

Keywords: Financial Economics; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 36
Date: 2006-03
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/273514/files/qed_wp_1044.pdf (application/pdf)

Related works:
Journal Article: Improving the reliability of bootstrap tests with the fast double bootstrap (2007)
Working Paper: Improving the reliability of bootstrap tests with the fast double bootstrap (2006)
Working Paper: Improving The Reliability Of Bootstrap Tests With The Fast Double Bootstrap (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273514

DOI: 10.22004/ag.econ.273514

Access Statistics for this paper

More papers in Queen's Economics Department Working Papers from Queen's University - Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().