On the Number of Bootstrap Repetitions for BC_a Confidence Intervals

Donald Andrews () and Moshe Y. Buchinsky
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Moshe Y. Buchinsky: Dept. Economcis, Brown University

No 1250, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper considers the problem of choosing the number bootstrap repetitions B to use with the BC_{a} bootstrap confidence intervals introduced by Efron (1987). 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 = infinity. We specifiy 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.

Pages: 22 pages
Date: 2000-02
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Journal Article: ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1250

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