Computationally Efficient Double Bootstrap Variance Estimation
Sune Karlsson () and
Mickael Löthgren ()
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Mickael Löthgren: Department of Economic Statistics, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden
No 151, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics
The double bootstrap provides a useful tool for bootstrapping approximately pivotal quantities by using an "inner" bootstrap loop to estimate the variance. When the estimators are computationally intensive, the double bootstrap may become infeasible. We propose the use of a new variance estimator for the nonparametric bootstrap which effectively removes the requirement to perform the inner loop of the double bootstrap. Simulation results indicate that the proposed estimator produce bootstrap-t confidence intervals with coverage accuracy which replicates the coverage accuracy for the standard double bootstrap.
Keywords: Bootstrap-t; confidence intervals; influence function; non-parametric bootstrap (search for similar items in EconPapers)
JEL-codes: C14 C15 (search for similar items in EconPapers)
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Published in Computational Statistics & Data Analysis, 2000, pages 237-247.
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Journal Article: Computationally efficient double bootstrap variance estimation (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0151
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