Improving the reliability of bootstrap tests with the fast double bootstrap

Russell Davidson and James MacKinnon

Working Papers from HAL

Abstract: Two procedures are proposed 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. Then a new procedure is proposed 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 the fast double bootstrap can be very useful in practice.

Keywords: Bootstrap (search for similar items in EconPapers)
Date: 2006
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00439247
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Citations: View citations in EconPapers (15)

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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)
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