Improving The Reliability Of Bootstrap Tests

James MacKinnon and Russell Davidson
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Russell Davidson: McGill University

No 995, Working Paper from Economics Department, Queen's University

Abstract: We first propose procedures for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive as estimating rejection probabilities for asymptotic tersts. We then propose procedures for computing modified bootstrap P values that will often be more accurate than ordinary ones. These procedures are closely related to the double bootstrap, but they are far less computationally demanding.

Keywords: Double Bootstrap; Monte Carlo; Specification Test; Bootstrap P Value (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2000-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:995

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