Applications Of The Fast Double Bootstrap

James MacKinnon

No 1023, Working Paper from Economics Department, Queen's University

Abstract: The fast double bootstrap, or FDB, is a procedure for calculating bootstrapP values that is much more computationally efficient than the double bootstrap itself. In many cases, it can provide more accurate results than ordinary bootstrap tests. For the fast double bootstrap to be valid, thetest statistic must be asymptotically independent of the random parts of thebootstrap data generating process. This paper presents simulation evidenceon the performance of FDB tests in three cases of interest toeconometricians. One of the cases involves both symmetric and equal-tailbootstrap tests, which, interestingly, can have quite different power properties. Another highlights the importance of imposing the nullhypothesis on the bootstrap DGP.

Keywords: double bootstrap; weak instruments; ARCH errors; serial correlation; bootstrap test (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2006-02
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1023

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